Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach

DOI10.1080/03461230410000592zbMath1092.91044OpenAlexW2031118682MaRDI QIDQ5467654

Christian Irgens, Jostein Paulsen

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230410000592

zbMATH Keywords

discrete timedynamic controlpower utilityruin constraint

Mathematics Subject Classification ID

Related Items (3)

Discrete-time insurance model with capital injections and reinsurance ⋮ Optimal control of the risk process in a regime-switching environment ⋮ A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization

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• Optimal investment for insurers

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