OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH

DOI10.1142/S0219024913500362zbMath1279.93108arXiv1008.5058MaRDI QIDQ5746924

Mohammed Mnif

Publication date: 11 February 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.5058

zbMATH Keywords

viscosity solutionstochastic controldualitydynamic programming principleoptional decompositionoptimal insurance

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

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• [https://portal.mardi4nfdi.de/wiki/Publication:4194221 Espaces de semi martingales et changement de probabilit�]
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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