Optimal investment with a value-at-risk constraint

DOI10.3934/JIMO.2012.8.531zbMath1302.93245OpenAlexW2320342124MaRDI QIDQ2450805

Jingzhen Liu, Lihua Bai, Ka-Fai Cedric Yiu

Publication date: 16 May 2014

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2012.8.531

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinsurance companyruin probabilityvalue-at-riskinvestment

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Related Items (7)

Optimal investment of an insurer with regime-switching and risk constraint ⋮ The optimal mean variance problem with inflation ⋮ Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model ⋮ Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand ⋮ Ergodic control for a mean reverting inventory model ⋮ A penalty approximation method for a semilinear parabolic double obstacle problem ⋮ Optimality of \((s,S)\) policies with nonlinear processes

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