Optimal insurance strategies in a risk process with restrictions on policyholder risks

DOI10.1134/S0005117910080072zbMath1205.49049MaRDI QIDQ612168

V. N. Gridin, A. Yu. Golubin

Publication date: 3 January 2011

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

optimal choice problemCramer-Lundberg risk processrisk-bearing functionstop-loss strategy

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)

Related Items (1)

Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model

Cites Work

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• On reinsurance and investment for large insurance portfolios
• Optimization of risk bearing in a statistical model with reinsurance
• On minimizing the ruin probability by investment and reinsurance
• Optimal Insurance and Reinsurance Policies in the Risk Process
• Optimal Dynamic XL Reinsurance

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