Optimal Control and Sensitivity Analysis for Two Risk Models

DOI10.1080/03610918.2014.930904zbMath1386.91078OpenAlexW2000244829MaRDI QIDQ2816670

Julia Gusak, Ekaterina V. Bulinskaya

Publication date: 25 August 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.930904

zbMATH Keywords

optimal controldynamic programmingnonproportional reinsurancebank loansperiodic-review modelassets selling

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (5)

Modeling and asymptotic analysis of insurance company performance ⋮ Sensitivity analysis of some applied probability models ⋮ Asymptotic analysis and optimization of some insurance models ⋮ Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period ⋮ Reliability of a Discrete-Time System with Investment

Cites Work

• Optimal control of capital injections by reinsurance in a diffusion approximation
• Discrete-time insurance model with capital injections and reinsurance
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• On minimizing the ruin probability by investment and reinsurance
• Survival probabilities in bivariate risk models, with application to reinsurance
• Cost and reliability approaches in inventory theory
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• Maximizing Dividends without Bankruptcy
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• Some Optimal Dividends Problems
• Probabilistic Sensitivity Analysis of Complex Models: A Bayesian Approach
• A review of discrete-time risk models

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