Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

DOI10.1016/j.insmatheco.2008.09.006zbMath1156.91391MaRDI QIDQ1003812

Nora Muler, Pablo Azcue

Publication date: 4 March 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.09.006

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; insurance; portfolio optimization; ruin probability; borrowing constraints; Cramér-Lundberg process

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

Related Items

Optimal proportional reinsurance and investment with minimum probability of ruin, Optimal investment, stochastic labor income and retirement, Optimal investment policy and dividend payment strategy in an insurance company, Optimal investment with multiple risky assets for an insurer in an incomplete market, Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem, Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

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