On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
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Publication:1265919
DOI10.1016/S0167-6687(98)00010-9zbMath0906.90170MaRDI QIDQ1265919
Publication date: 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Bellman equationpiecewise deterministic Markov processesnon-relaxed controlsoptimal stationary policy of feedback
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (14)
Optimal Control of Piecewise Deterministic Markov Processes ⋮ Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes ⋮ Optimal premium pricing for a heterogeneous portfolio of insurance risks ⋮ On risk-sensitive piecewise deterministic Markov decision processes ⋮ Continuous-Time Markov Decision Processes with Exponential Utility ⋮ Optimal oil-owner behavior in piecewise deterministic models ⋮ Optimal Control of Partially Observable Piecewise Deterministic Markov Processes ⋮ Approximation methods for piecewise deterministic Markov processes and their costs ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability ⋮ Reinsurance optimal strategy of a loss excess ⋮ Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes ⋮ Traditional versus non-traditional reinsurance in a dynamic setting ⋮ Approximation of Optimal Reinsurance and Dividend Payout Policies
Cites Work
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