Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest

DOI10.1239/jap/1316796911zbMath1230.91072OpenAlexW2091964402MaRDI QIDQ3094689

Julia Eisenberg, Hanspeter Schmidli

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1316796911

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationstochastic controlclassical risk modelcapital injection

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (9)

Minimisation of penalty payments by investments and reinsurance ⋮ Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model ⋮ Optimal reinsurance: minimize the expected time to reach a goal ⋮ Barrier present value maximization for a diffusion model of insurance surplus ⋮ Optimal multidimensional reinsurance policies under a common shock dependency structure ⋮ Discrete-time insurance model with capital injections and reinsurance ⋮ Minimal cost of a Brownian risk without ruin ⋮ Maximizing a robust goal-reaching probability with penalization on ambiguity ⋮ Optimal control with restrictions for a diffusion risk model under constant interest force

Cites Work

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• Optimal control of capital injections by reinsurance in a diffusion approximation
• Aspects of risk theory
• On minimizing the ruin probability by investment and reinsurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Optimal investment for insurers

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