Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
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Cites work
- scientific article; zbMATH DE number 5321684 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- A two-dimensional risk model with proportional reinsurance
- A two-dimensional ruin problem on the positive quadrant
- Existence of optimal controls for singular control problems with state constraints
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal Control with State-Space Constraint I
- Optimal Control with State-Space Constraint. II
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal investment for insurers
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- Optimal stopping and free boundary characterizations for some Brownian control problems
- Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
- Tail events of some nonhomogeneous Markov chains
- Viscosity Solutions of Hamilton-Jacobi Equations
Cited in
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- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal dividend strategies for two collaborating insurance companies
- 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
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Optimal dividend payments for a two-dimensional insurance risk process
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
- A fully nonlinear free boundary problem for minimizing the ruin probability
- 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
- Solution of a two-dimensional stochastic investment problem
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
- Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
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