Optimal proportional reinsurance and investment with minimum probability of ruin
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Publication:426584
DOI10.1016/j.amc.2011.11.031zbMath1242.91099OpenAlexW2022618210MaRDI QIDQ426584
Publication date: 11 June 2012
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.11.031
Hamilton-Jacobi-Bellman equationproportional reinsuranceoptimal reinsurance-investment strategysurplus process
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Related Items (3)
Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps ⋮ Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
Cites Work
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- Insurer's optimal reinsurance strategies
- Optimal insurance under Wang's premium principle.
- Ruin probabilities for discrete time risk models with stochastic rates of interest
- Ruin probability in the presence of risky investments
- Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal reinsurance under mean-variance premium principles
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