Asymptotics of ruin probabilities for controlled risk processes in the small claims case

DOI10.1080/03461230410000538zbMath1087.62116OpenAlexW2135676806MaRDI QIDQ5467663

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230410000538

zbMATH Keywords

optimal control martingale ruin probability change of measure geometric Brownian motion adjustment coefficient Cramér-Lundberg approximation Lundberg bounds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work