Games of Economic Survival with Discrete- and Continuous-Income Processes

DOI10.1287/opre.20.1.37zbMath0236.90079OpenAlexW2128636346MaRDI QIDQ5646700

Hans U. Gerber

Publication date: 1972

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.20.1.37

Mathematics Subject Classification ID

Other game-theoretic models (91A40)

Related Items (72)

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dividends under linear-quadratic optimisation ⋮ A fully nonlinear free boundary problem for minimizing the ruin probability ⋮ Optimal reinsurance design under solvency constraints ⋮ OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES ⋮ A BSDE approach to a risk-based optimal investment of an insurer ⋮ Optimal Dividends Under Model Uncertainty ⋮ Optimal singular dividend control with capital injection and affine penalty payment at ruin ⋮ The optimal dividend barrier in the gamma-omega model ⋮ Optimal financing and dividend control in the dual model ⋮ OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH ⋮ Impulse control of proportional reinsurance with constraints ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule ⋮ Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy ⋮ Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time ⋮ The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. ⋮ On a mean reverting dividend strategy with Brownian motion ⋮ Optimal dividend and investing control of an insurance company with higher solvency constraints ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ An elementary approach to discrete models of dividend strategies ⋮ Optimal financing and dividend control of the insurance company with proportional reinsurance policy ⋮ Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities ⋮ Optimal dividend payout under compound Poisson income ⋮ Methods for estimating the optimal dividend barrier and the probability of ruin ⋮ The perturbed Sparre Andersen model with a threshold dividend strategy ⋮ A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes ⋮ 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Gerber and Elias S. W. Shiu, April 2006 ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model ⋮ The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion ⋮ On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function ⋮ Strategies for Dividend Distribution: A Review

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