Stochastic control for optimal new business

DOI10.1016/S0167-6687(99)00052-9zbMath1103.91366OpenAlexW2070518090MaRDI QIDQ1584524

Christian Hipp, Michael I. Taksar

Publication date: 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00052-9

zbMATH Keywords

Stochastic controlRuin probabilityNew business

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal proportional reinsurance policies for diffusion models
• Lectures on the use of control theory in insurance