Discrete-time insurance model with capital injections and reinsurance
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Publication:905223
DOI10.1007/s11009-014-9418-3zbMath1329.91058OpenAlexW2061819829MaRDI QIDQ905223
Julia Gusak, Anastasia A. Muromskaya, Ekaterina V. Bulinskaya
Publication date: 14 January 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-014-9418-3
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Related Items (5)
Stability of solutions in optimal reinsurance problem ⋮ On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance ⋮ Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period ⋮ Optimal Control and Sensitivity Analysis for Two Risk Models ⋮ Reliability of a Discrete-Time System with Investment
Cites Work
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- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Reinsurance and ruin
- On minimizing the ruin probability by investment and reinsurance
- Inequalities for the ruin probability in a controlled discrete-time risk process
- Ruin probabilities for discrete time risk models with stochastic rates of interest
- Upper and lower bounds for dividends in the discrete model
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Optimal Dynamic Reinsurance
- Optimal Dynamic XL Reinsurance
- Some Optimal Dividends Problems
- Direct Derivation of Finite-Time Ruin Probabilities in the Discrete Risk Model with Exponential or Geometric Claims
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach
- Optimal reinsurance
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