On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability

DOI10.1080/03461230110106507zbMath1141.91031OpenAlexW2050479732MaRDI QIDQ5430576

Manfred Schäl

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1080/03461230110106507

zbMATH Keywords

dynamic programmingMarkov decision processruin probabilityinvestmentverification theoremoptimal control theoryreinsuranceCramér-Lundberg modelHoward improvement

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (14)

Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model ⋮ Proportional and excess-of-loss reinsurance under investment gains ⋮ Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin ⋮ Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach ⋮ Discrete-time insurance model with capital injections and reinsurance ⋮ On optimal investment in a reinsurance context with a point process market model ⋮ Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ Inequalities for the ruin probability in a controlled discrete-time risk process ⋮ Bounds for the Ruin Probability of a Discrete-Time Risk Process ⋮ Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate ⋮ Dynamic reinsurance in discrete time minimizing the insurer's cost of capital

Cites Work

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• On the Optimality of Structured Policies in Countable Stage Decision Processes
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Negative Dynamic Programming
• Optimal investment for insurers

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