Optimization methods for compound Poisson risk processes

DOI10.1007/BF02742072MaRDI QIDQ1280947zbMATH OpenOpenAlexFDO

Authors G. I. Lyubchenko, A. N. Nakonechnyi

Publication date 15 March 1999

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02742072

zbMATH Keywords

probability of ruincompound Poisson risk processesinsurance company capital

Mathematics Subject Classification ID

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Cites work

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• scientific article; zbMATH DE number 43940 (Why is no real title available?)
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• scientific article; zbMATH DE number 3311446 (Why is no real title available?)
• Iterative processes: A survey of convergence theory using Lyapunov second method
• Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
• Optimization of risk processes
• Stochastic gradient processes: A survey of convergence theory using Lyapunov second method

Cited in

(10)

• Stochastic optimization models of actuarial mathematics
• Asymptotic optimization for stochastic models based on a compound Poisson process
• Mathematical models for insurance business optimization
• Differentiation of some functionals of risk processes, and optimal reserve allocation
• An optimization of a continuous time risk process
• Optimization of risk processes
• Problems on insurance of catastrophic risks
• Stochastic optimization of risk functions via parametric smoothing
• On measuring and profiling catastrophic risks
• scientific article; zbMATH DE number 2169332 (Why is no real title available?)

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