Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model (Q4562056): Difference between revisions

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scientific article; zbMATH DE number 6993727

Language	Label	Description	Also known as
English	Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model	scientific article; zbMATH DE number 6993727

Statements

instance of

scholarly article

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title

Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model (English)

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author

Michele Antonello

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Luca Cipani

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Wolfgang J. Runggaldier

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published in

Scandinavian Actuarial Journal

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publication date

14 December 2018

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zbMATH Keywords

reinsurance and investment

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minimizing capital injections

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value iteration

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approximation methods

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2018.1471001

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cites work

Q3560912

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Stochastic Optimization in Insurance

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Markov decision processes with applications to finance.

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Q3136505

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

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Minimising expected discounted capital injections by reinsurance in a classical risk model

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Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest

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A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA

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In the insurance business risky investments are dangerous

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Expected log-utility maximization under incomplete information and with Cox-process observations

0 references

In the insurance business risky investments are dangerous: the case of negative risk sums

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Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities

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Q2703816

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Adaptive Markov control processes

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Error bounds for rolling horizon policies in discrete-time Markov control processes

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Introduction to vector quantization and its applications for numerics

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A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

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Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance

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On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability

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Control of ruin probabilities by discrete-time investments

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Identifiers

zbMATH Open document ID

1418.91227

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DOI

10.1080/03461238.2018.1471001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4562056

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+https://doi.org/10.1080/03461238.2018.1471001
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@@ Property / OpenAlex ID: W2803750500 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Optimization in Insurance
@@ Property / cites work: Stochastic Optimization in Insurance / rank @@
+Normal rank
@@ Property / cites work @@
+Markov decision processes with applications to finance.
+Normal rank
@@ Property / cites work @@
+Q3136505
@@ Property / cites work: Q3136505 / rank @@
+Normal rank
@@ Property / cites work @@
+On optimal investment in a reinsurance context with a point process market model
+Normal rank
@@ Property / cites work @@
+Minimising expected discounted capital injections by reinsurance in a classical risk model
+Normal rank
@@ Property / cites work @@
+Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
+Normal rank
@@ Property / cites work @@
+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
+Normal rank
@@ Property / cites work @@
+In the insurance business risky investments are dangerous
+Normal rank
@@ Property / cites work @@
+Expected log-utility maximization under incomplete information and with Cox-process observations
+Normal rank
@@ Property / cites work @@
+In the insurance business risky investments are dangerous: the case of negative risk sums
+Normal rank
@@ Property / cites work @@
+Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
+Normal rank
@@ Property / cites work @@
+Q2703816
@@ Property / cites work: Q2703816 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Markov control processes
@@ Property / cites work: Adaptive Markov control processes / rank @@
+Normal rank
@@ Property / cites work @@
+Error bounds for rolling horizon policies in discrete-time Markov control processes
+Normal rank
@@ Property / cites work @@
+Introduction to vector quantization and its applications for numerics
+Normal rank
@@ Property / cites work @@
+A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
+Normal rank
@@ Property / cites work @@
+Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance
+Normal rank
@@ Property / cites work @@
+On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
+Normal rank
@@ Property / cites work @@
+Control of ruin probabilities by discrete-time investments
+Normal rank