On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
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Cites work
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- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Martingales and arbitrage in multiperiod securities markets
- Measurable selections of extrema
- Negative Dynamic Programming
- On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
- On the Optimality of Structured Policies in Countable Stage Decision Processes
- Optimal investment for insurers
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Portfolio optimization and martingale measures
- Price systems constructed by optimal dynamic portfolios.
- Reinsurance and ruin
- Some mathematical aspects of reinsurance
- Stochastic optimal control. The discrete time case
Cited in
(18)- Risk- and value-based management for non-life insurers under solvency constraints
- A discrete model for the problem of optimizing the activity of an insurance company
- An optimal reinsurance problem in the Cramér-Lundberg model
- Inequalities for the ruin probability in a controlled discrete-time risk process
- Stochastic optimization for the ruin probability
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model
- Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
- Ruin probabilities in a finite-horizon risk model with investment and reinsurance
- Minimizing upper bound of ruin probability under discrete risk model with Markov chain interest rate
- Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach
- Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
- Proportional and excess-of-loss reinsurance under investment gains
- On optimal investment in a reinsurance context with a point process market model
- Control of ruin probabilities by discrete-time investments
- Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin
- Discrete-time insurance model with capital injections and reinsurance
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