Stochastic control for optimal new business

DOI10.1016/S0167-6687(99)00052-9zbMath1103.91366OpenAlexW2070518090MaRDI QIDQ1584524

Christian Hipp, Michael I. 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

zbMATH Keywords

Stochastic controlRuin probabilityNew business

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (22)

A stochastic differential game for optimal investment of an insurer with regime switching ⋮ Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints ⋮ Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin ⋮ Optimal premium pricing for a heterogeneous portfolio of insurance risks ⋮ Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model ⋮ A BSDE approach to a risk-based optimal investment of an insurer ⋮ The Theory of Optimal Stochastic Control as Applied to Insurance Underwriting Cycles ⋮ On ruin probability minimization under excess reinsurance ⋮ Correspondence between lifetime minimum wealth and utility of consumption ⋮ SOME OPTIMAL STOCHASTIC CONTROL PROBLEMS IN NEUROSCIENCE — A REVIEW ⋮ Optimal Investment for an Insurer to Minimize Its Probability of Ruin ⋮ Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin ⋮ On optimal proportional reinsurance and investment in a hidden Markov financial market ⋮ Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations ⋮ On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance ⋮ Optimal investment for insurers ⋮ Minimizing the probability of lifetime ruin under borrowing constraints ⋮ Robust optimal investment and reinsurance of an insurer under jump-diffusion models ⋮ Unnamed Item ⋮ Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate ⋮ Optimal investment-reinsurance with dynamic risk constraint and regime switching ⋮ Optimal investment for insurer with jump-diffusion risk process

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

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