On absolute ruin minimization under a diffusion approximation model

DOI10.1016/j.insmatheco.2010.10.004zbMath1233.91151MaRDI QIDQ2276211

Shangzhen Luo, Michael I. Taksar

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

zbMATH Keywords

diffusion approximation; HJB equation; proportional reinsurance; absolute ruin probability; dynamic investment control

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Optimal Dynamic Risk Control for Insurers with State-Dependent Income, Stochastic Brownian Game of Absolute Dominance, Minimization of absolute ruin probability under negative correlation assumption, Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model, Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance, Stochastic Pareto-optimal reinsurance policies, Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment, Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process, Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return

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