Optimization of risk processes

DOI10.1007/BF02367767zbMath0885.90032MaRDI QIDQ1375272

A. N. Nakonechnyi

Publication date: 22 April 1998

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

zbMATH Keywords

approximate methodsbounded ruin probabilitycapital maximization

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (5)

Stochastic optimization models of actuarial mathematics ⋮ Mathematical models for insurance business optimization ⋮ On measuring and profiling catastrophic risks ⋮ Systems simulation analysis and optimization of insurance business ⋮ Optimization methods for compound Poisson risk processes

Cites Work

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• 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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