Optimal investment policy of an insurance firm

DOI10.1016/0167-6687(83)90018-5zbMath0513.62098OpenAlexW2063857680MaRDI QIDQ1050735

Charles S. Tapiero, Dror Zuckerman

Publication date: 1983

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(83)90018-5

zbMATH Keywords

Laplace transformcompound Poisson processdetermining optimal investment strategydiffusion approximation techniquestime-independent conversion costs

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Optimum excess-loss reinsurance: A dynamic framework
• Optimal control of a Brownian storage system
• Optimal investment-dividend policy of an insurance firm under regulation
• Diffusion approximations in collective risk theory
• Diffusion approximations and models for certain congestion problems
• Regenerative processes in the theory of queues, with applications to the alternating-priority queue

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