On minimizing the ruin probability by investment and reinsurance
type: Item
instance of: scholarly article
title: On minimizing the ruin probability by investment and reinsurance
zbMATH Open document ID: 1021.60061
author: Hanspeter Schmidli
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
review text: The author considers a risk model in which the insurance company is allowed to invest in a risky asset as well as to take (proportional) reinsurance. By using the Hamilton-Jacobi-Bellman approach, the author finds a candidate for the optimal strategy and develops a numerical procedure to solve the HJB equation. The author shows that the HJB equation admits an increasing solution and that any increasing solution to the HJB equation is bounded and solves the optimization problem.
reviewed by: Renming Song
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1906165
zbMATH Keywords: optimal control
zbMATH Keywords: stochastic control
zbMATH Keywords: ruin probability
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: reinsurance
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1031863173
OpenAlex ID: W2087292112
DOI: 10.1214/AOAP/1031863173
description: scientific article; zbMATH DE number 1906165