Optimal investment under transaction costs for an insurer (Q487570): Difference between revisions

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+W1972303328
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+Q3560912
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+Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
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+Control improvement for jump-diffusion processes with applications to finance
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+Markov decision processes with applications to finance.
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+Optimal constrained investment in the Cramer-Lundberg model
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+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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+A policy iteration algorithm for fixed point problems with nonexpansive operators
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+On optimal control of capital injections by reinsurance and investments
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+In the insurance business risky investments are dangerous
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+Ruin probabilities in the presence of regularly varying tails and optimal investment.
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+Asymptotic ruin probabilities and optimal investment
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+Optimal investment for insurers
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+Optimal investment for investors with state dependent income, and for insurers
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+Asymptotics of ruin probabilities for controlled risk processes in the small claims case
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+Diffusion approximations in collective risk theory
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+Power tailed ruin probabilities in the presence of risky investments.
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+Portfolio optimisation with strictly positive transaction costs and impulse control
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+Optimum consumption and portfolio rules in a continuous-time model
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+Applied stochastic control of jump diffusions.
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+Ruin theory with stochastic return on investments
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+On minimizing the ruin probability by investment and reinsurance
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