An optimization approach to adaptive multi-dimensional capital management

DOI10.1016/j.insmatheco.2018.10.001zbMath1419.91355arXiv1812.08435MaRDI QIDQ1757615

P. J. C. Spreij, G. A. Delsing, Erik M. M. Winands, M. R. H. Mandjes

Publication date: 15 January 2019

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

Full work available at URL: https://arxiv.org/abs/1812.08435

zbMATH Keywords

Bayesian statistics; ruin probability; optimal allocation; insurance risk; multi-dimensional risk process

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

Related Items

A ruin model with a resampled environment, A transient Cramér–Lundberg model with applications to credit risk

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