On the gain of collaboration in a two dimensional ruin problem

DOI10.1007/S13385-019-00193-2zbMath1446.91061OpenAlexW2914054603WikidataQ128489669 ScholiaQ128489669MaRDI QIDQ2304005

Peter Grandits

Publication date: 6 March 2020

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-019-00193-2

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsupermartingaleruin problemdrifted Brownian motion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Actuarial mathematics (91G05)

Related Items (3)

Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ On the joint survival probability of two collaborating firms ⋮ Ruin probability in a two-dimensional model with correlated Brownian motions

Cites Work

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• Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model
• Optimal dividend strategies for two collaborating insurance companies
• The advantage of capitalism vs. socialism depends on the criterion

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