On ruin probability minimization under excess reinsurance

DOI10.1134/S0005117907060100zbMath1142.93039OpenAlexW1965172313MaRDI QIDQ926660

Dinh Le Son, Yu. G. Grigor'ev

Publication date: 20 May 2008

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

Full work available at URL: https://doi.org/10.1134/s0005117907060100

zbMATH Keywords

Hamilton-Jacobi-Bellmann equationCramer-Lundberg risk model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cites Work

• Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
• Stochastic control for optimal new business
• Some mathematical aspects of reinsurance
• On minimizing the ruin probability by investment and reinsurance
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Unnamed Item

This page was built for publication: On ruin probability minimization under excess reinsurance