Optimization methods for compound Poisson risk processes

DOI10.1007/BF02742072zbMATH Open0916.90064OpenAlexW1968693134MaRDI QIDQ1280947FDOQ1280947

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

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zbMATH Keywords

probability of ruincompound Poisson risk processesinsurance company capital

Mathematics Subject Classification ID

Cites Work

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• Optimization of risk processes
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• Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
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• Iterative processes: A survey of convergence theory using Lyapunov second method
• Stochastic gradient processes: A survey of convergence theory using Lyapunov second method
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Cited In (10)

• Stochastic optimization models of actuarial mathematics
• Differentiation of some functionals of risk processes, and optimal reserve allocation
• Asymptotic optimization for stochastic models based on a compound Poisson process
• Mathematical models for insurance business optimization
• 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
• Title not available (Why is that?)

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