Ruin Minimization for Insurers with Borrowing Constraints

DOI10.1080/10920277.2008.10597508zbMath1481.91179OpenAlexW2005933876MaRDI QIDQ5022533

Shangzhen Luo

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597508

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (16)

Maximizing the goal-reaching probability before drawdown with borrowing constraint ⋮ Optimal reinsurance: minimize the expected time to reach a goal ⋮ Optimal constrained investment in the Cramer-Lundberg model ⋮ Optimal investment strategies for an insurer with liquid constraint ⋮ Minimization of ruin probability with joint strategies of investment and reinsurance ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model ⋮ Proportional reinsurance and investment in multiple risky assets under borrowing constraint ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model ⋮ Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model ⋮ Optimal investment for an insurer under liquid reserves ⋮ Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints ⋮ Optimal investment and reinsurance to maximize the probability of drawup before drawdown ⋮ An equilibrium model of reinsurance pricing ⋮ Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs

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