A fully nonlinear free boundary problem for minimizing the ruin probability

DOI10.1016/J.NA.2020.111924MaRDI QIDQ2188539zbMATH OpenOpenAlexFDO

Authors Chonghu Guan

Publication date 11 June 2020

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2020.111924

zbMATH Keywords

controllable riskfree boundaryparabolic fully nonlinear equationreinsuranceruin probabilitystochastic optimal control

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Recommendations

• Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
• On ruin probability minimization under excess reinsurance
• On minimizing the ruin probability by investment and reinsurance
• Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
• Optimal proportional reinsurance and investment with minimizing ruin probability

Cites work

• A free boundary problem arising from a stochastic optimal control model under controllable risk
• A fully nonlinear free boundary problem arising from optimal dividend and risk control model
• A note on finite horizon optimal investment and consumption with transaction costs
• A stochastic control problem and related free boundaries in finance
• An Optimal Investment/Consumption Model with Borrowing
• Consumption-Investment Models with Constraints
• Continuous-time stochastic control and optimization with financial applications
• Diffusion approximations in collective risk theory
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Free boundary and American options in a jump-diffusion model
• Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1061253 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• scientific article; zbMATH DE number 3262637 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• On minimizing the ruin probability by investment and reinsurance
• On reinsurance and investment for large insurance portfolios
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal risk and dividend control for a company with a debt liability
• Optimal risk and dividend distribution control models for an insurance company
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Ruin problems with compounding assets
• The pricing of options and corporate liabilities
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(3)

• Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
• On the solution of general absolute value equations
• A free boundary problem of liquidity management for optimal dividend and insurance in finite horizon

This page was built for publication: A fully nonlinear free boundary problem for minimizing the ruin probability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2188539)