Optimization methods for compound Poisson risk processes

DOI10.1007/BF02742072zbMath0916.90064OpenAlexW1968693134MaRDI QIDQ1280947

G. I. Lyubchenko, A. N. Nakonechnyi

Publication date: 15 March 1999

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02742072

zbMATH Keywords

probability of ruincompound Poisson risk processesinsurance company capital

Mathematics Subject Classification ID

Related Items (3)

Stochastic optimization models of actuarial mathematics ⋮ Mathematical models for insurance business optimization ⋮ On measuring and profiling catastrophic risks

Cites Work

• Optimization of risk processes
• Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
• Iterative processes: A survey of convergence theory using Lyapunov second method
• Stochastic gradient processes: A survey of convergence theory using Lyapunov second method
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