Minimisation of penalty payments by investments and reinsurance

DOI10.1007/S13385-016-0128-9zbMath1415.91166OpenAlexW2300049624MaRDI QIDQ303741

Matthias Vierkötter

Publication date: 22 August 2016

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-016-0128-9

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdiffusion approximationreinsuranceinvestmentspenalty payments

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

On optimal dividends with penalty payments in the Cramér-Lundberg model

Cites Work

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