Application of the Ornstein-Uhlenbeck process to the solution of the problem of optimization of the capital ofl insurance companies taking into account advertising, as well as Black's portfolio analysis

zbMATH Open1248.62196MaRDI QIDQ2896616

A. V. Baev

Publication date: 16 July 2012

Published in: Prykladna Statystyka. Aktuarna ta Finansova Matematyka (Search for Journal in Brave)

zbMATH Keywords

optimal controlWiener processstochastic differential equations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of optimal control and differential games (49N90) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Recommendations

• Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process 👍 👎
• Optimization of advertising activity of an insurance company and an algorithm for its solution 👍 👎
• Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming 👍 👎
• Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition 👍 👎
• Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process 👍 👎
• Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎
• Title not available (Why is that?) 👍 👎

This page was built for publication: Application of the Ornstein-Uhlenbeck process to the solution of the problem of optimization of the capital ofl insurance companies taking into account advertising, as well as Black's portfolio analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2896616)