Stochastic control for optimal new business

DOI10.1016/S0167-6687(99)00052-9zbMATH Open1103.91366OpenAlexW2070518090MaRDI QIDQ1584524FDOQ1584524

Authors: Christian Hipp, Michael Taksar 

Publication date: 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00052-9

Recommendations

• Optimal new business for insurer to minimize the ruin probability under interest force
• Stochastic optimization for the ruin probability
• scientific article; zbMATH DE number 2144816
• Optimal non-proportional reinsurance control
• Control of ruin probabilities by discrete-time investments

zbMATH Keywords

Stochastic controlRuin probabilityNew business

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Controlled diffusion models for optimal dividend pay-out
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimal proportional reinsurance policies for diffusion models
• Lectures on the use of control theory in insurance

Cited In (24)

• Robust optimal investment and reinsurance of an insurer under jump-diffusion models
• Optimal new business for insurer to minimize the ruin probability under interest force
• Correspondence between lifetime minimum wealth and utility of consumption
• Optimal investment for insurers
• A stochastic differential game for optimal investment of an insurer with regime switching
• Optimal investment for insurer with jump-diffusion risk process
• On ruin probability minimization under excess reinsurance
• Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
• Minimizing upper bound of ruin probability under discrete risk model with Markov chain interest rate
• SOME OPTIMAL STOCHASTIC CONTROL PROBLEMS IN NEUROSCIENCE — A REVIEW
• Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin
• Optimal investment-reinsurance with dynamic risk constraint and regime switching
• Optimal investment strategy and liability ratio for insurer with Lévy risk process
• A BSDE approach to a risk-based optimal investment of an insurer
• Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
• Title not available (Why is that?)
• Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
• Optimal premium pricing for a heterogeneous portfolio of insurance risks
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Minimizing the probability of lifetime ruin under borrowing constraints
• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• The theory of optimal stochastic control as applied to insurance underwriting cycles
• On optimal proportional reinsurance and investment in a hidden Markov financial market

This page was built for publication: Stochastic control for optimal new business

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1584524)