Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
DOI10.1007/S00186-012-0424-3zbMATH Open1269.49041OpenAlexW2075410831MaRDI QIDQ2392787FDOQ2392787
Authors: Pablo Azcue, Nora Muler 
Publication date: 2 August 2013
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-012-0424-3
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Hamilton-Jacobi-Bellman equationruin probabilityviscosity solutionoptimal strategysingular controlcompound Poisson processinsurance company
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Cited In (17)
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS
- Optimal investment problem between two insurers with value-added service
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Solution of a two-dimensional stochastic investment problem
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Minimizing ruin probability under the Sparre Anderson model
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET
- Stochastic differential game formulation on the reinsurance and investment problem
- Optimal dividend payments for a two-dimensional insurance risk process
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
- Optimal dividend strategies for two collaborating insurance companies
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