Minimization of ruin probability with joint strategies of investment and reinsurance

DOI10.1080/03610926.2021.2009870OpenAlexW4200557471MaRDI QIDQ6115032

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Publication date: 12 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.2009870

zbMATH Keywords

excess-of-loss reinsurancestochastic controlrisk processruin probabilityHamilton-Jacobi-Bellman (HJB) equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (1)

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Cites Work

• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Aspects of risk theory
• Reinsurance and ruin
• Minimizing the probability of ruin: optimal per-loss reinsurance
• On minimizing the ruin probability by investment and reinsurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Ruin Minimization for Insurers with Borrowing Constraints
• Proportional reinsurance and investment in multiple risky assets under borrowing constraint
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Optimal investment for insurers

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