Optimal investment for investors with state dependent income, and for insurers
From MaRDI portal
Publication:1775999
DOI10.1007/s007800200095zbMath1069.91051OpenAlexW1973133746MaRDI QIDQ1775999
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200095
Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Portfolio theory (91G10)
Related Items
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance ⋮ Optimal reinsurance and investment strategy with two piece utility function ⋮ Optimal control of risk exposure, reinsurance and investments for insurance portfolios ⋮ Optimal investment for insurers when the stock price follows an exponential Lévy process ⋮ Optimal investment and proportional reinsurance in the Sparre Andersen model ⋮ Asymptotic and numerical analysis of the optimal investment strategy for an insurer ⋮ Optimal investment and reinsurance for an insurer under Markov-modulated financial market ⋮ On the expectation of total discounted operating costs up to default and its applications ⋮ Optimal constrained investment in the Cramer-Lundberg model ⋮ Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes ⋮ Maximization of the Survival Probability by Franchise and Deductible Amounts in the Classical Risk Model ⋮ Optimal active lifetime investment ⋮ Optimal dividend policies with transaction costs for a class of jump-diffusion processes ⋮ Optimal investment and premium control in a nonlinear diffusion model ⋮ Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process ⋮ Proportional reinsurance and investment in multiple risky assets under borrowing constraint ⋮ Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment ⋮ Risk-free investments and their comparison with simple risky strategies in pension insurance model: solving singular problems for integro-differential equations ⋮ The Theory of Optimal Stochastic Control as Applied to Insurance Underwriting Cycles ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments ⋮ Asymptotic ruin probabilities and optimal investment ⋮ On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market ⋮ Ruin in the perturbed compound Poisson risk process under interest force ⋮ Optimal non-proportional reinsurance control ⋮ Optimal investment under transaction costs for an insurer ⋮ On the distribution tail of an integrated risk model: A numerical approach ⋮ Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions ⋮ Optimal Investment for an Insurer to Minimize Its Probability of Ruin ⋮ RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS ⋮ On optimal proportional reinsurance and investment in a hidden Markov financial market ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ Optimal Proportional Reinsurance and Ruin Probability ⋮ Integrated insurance risk models with exponential Lévy investment ⋮ Optimal portfolio choice for an insurer with loss aversion ⋮ Correction note to: solving a Hamilton–Jacobi–Bellman equation with constraints ⋮ Ruin theory for classical risk process that is perturbed by diffusion with risky investments ⋮ Risk minimization with inflation and interest rate risk: applications to non-life insurance ⋮ Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims ⋮ Maximizing terminal utility by controlling risk exposure; a discrete-time dynamic control approach ⋮ Asymptotics of ruin probabilities for controlled risk processes in the small claims case ⋮ Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems ⋮ Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis ⋮ Multidimensional Insurance Model with Risk-Reducing Treaty ⋮ Optimal investment and proportional reinsurance with constrained control variables ⋮ Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models ⋮ Pricing General Insurance Using Optimal Control Theory ⋮ OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL ⋮ Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition ⋮ Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations ⋮ Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate ⋮ Optimal investment for insurer with jump-diffusion risk process
