On absolute ruin minimization under a diffusion approximation model
DOI10.1016/J.INSMATHECO.2010.10.004zbMATH Open1233.91151OpenAlexW1982920830MaRDI QIDQ2276211FDOQ2276211
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.10.004
diffusion approximationHJB equationproportional reinsuranceabsolute ruin probabilitydynamic investment control
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Dynamic programming in optimal control and differential games (49L20)
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Cited In (20)
- The absolute ruin insurance risk model with a threshold dividend strategy
- Optimal dividends under Markov-modulated bankruptcy level
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Stochastic Pareto-optimal reinsurance policies
- Optimal Dynamic Risk Control for Insurers with State-Dependent Income
- Minimizing the probability of absolute ruin under ambiguity aversion
- Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Minimizing the probability of absolute ruin under the mean‐variance premium principle
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- Stochastic Brownian Game of Absolute Dominance
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- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
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