Minimal cost of a Brownian risk without ruin
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Publication:2447424
DOI10.1016/j.insmatheco.2012.09.006zbMath1285.91062arXiv1112.4005OpenAlexW2032217472MaRDI QIDQ2447424
Shangzhen Luo, Michael I. Taksar
Publication date: 25 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.4005
diffusion approximationquasi-variational inequalitiesreinsurancecapital injectionregular-impulse control
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Cites Work
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- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
- Some Optimal Dividends Problems
- CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
- Diffusion approximations in collective risk theory
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