On optimal investment in a reinsurance context with a point process market model

DOI10.1016/j.insmatheco.2010.07.006zbMath1231.91180OpenAlexW1968860875MaRDI QIDQ661254

Enrico Edoli, Wolfgang J. Runggaldier

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.07.006

zbMATH Keywords

value iterationexpected utility maximizationreinsurance and investmentruin minimization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

Related Items

Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model, Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion, Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach, Optimal stopping for partially observed piecewise-deterministic Markov processes, On optimal investment in a reinsurance context with a point process market model, Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance, Optimal investment and risk control policies for an insurer in an incomplete market

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