On minimizing the ruin probability by investment and reinsurance (Q1872375): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1214/aoap/1031863173 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1214/AOAP/1031863173 / rank | |||
Normal rank | |||
Latest revision as of 10:54, 16 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On minimizing the ruin probability by investment and reinsurance |
scientific article |
Statements
On minimizing the ruin probability by investment and reinsurance (English)
0 references
6 May 2003
0 references
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.
0 references
optimal control
0 references
stochastic control
0 references
ruin probability
0 references
Hamilton-Jacobi-Bellman equation
0 references
Black-Scholes model
0 references
reinsurance
0 references
