On minimizing the ruin probability by investment and reinsurance (Q1872375)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On minimizing the ruin probability by investment and reinsurance |
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On minimizing the ruin probability by investment and reinsurance (English)
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6 May 2003
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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.
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optimal control
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stochastic control
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ruin probability
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Hamilton-Jacobi-Bellman equation
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Black-Scholes model
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reinsurance
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