Optimal investment-dividend policy of an insurance firm under regulation

DOI10.1080/03461238.1983.10408692zbMath0519.62090OpenAlexW2110946646MaRDI QIDQ3668697

Charles S. Tapiero, Yehuda Kahane, Dror Zuckerman

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1080/03461238.1983.10408692

zbMATH Keywords

regulationdiffusion approximationcompound Poisson processlinear second order ordinary differential equationextension of Cramer-model of ruin probabilitygeneral claim size distributionoptimal investment-dividend policy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Insurance premiums and default risk in mutual insurance ⋮ Optimal investment policy of an insurance firm

Cites Work

• Unnamed Item
• Band strategies: The random walk of reserves
• Regenerative processes in the theory of queues, with applications to the alternating-priority queue

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