On optimal investment and subexponential claims
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Hamilton-Jacobi-Bellman equationOptimal controlGeometric Brownian motionRuin probabilityRegular variation
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Cites work
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
- In the insurance business risky investments are dangerous
- On R. Von Mises' Condition for the Domain of Attraction of $\exp(-e^{-x})^1$
- On minimizing the ruin probability by investment and reinsurance
- Optimal Dynamic XL Reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal investment for insurers
- Ruin probabilities in the presence of regularly varying tails and optimal investment.
Cited in
(20)- The ruin probability in the presence of extended regular variation and optimal investment
- The theory of optimal stochastic control as applied to insurance underwriting cycles
- Optimal expected exponential utility of dividend payments in a Brownian risk model
- Optimal strategies in a risk selection investment model
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment strategy for risk model of delayed claims
- Minimal ruin probabilities and investment under interest force for a class of subexponential distributions
- Asymptotically optimal investment for risk model with random income and diffusions
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Ruin probabilities under general investments and heavy-tailed claims
- Ruin probability in a risk model with variable premium intensity and risky investments
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Asymptotic optimal investment under interest rate for a class of subexponential distributions
- On the distribution tail of an integrated risk model: A numerical approach
- The periodic risk model with investment
- Asymptotic and numerical analysis of the optimal investment strategy for an insurer
- Ruin probability in the presence of interest earnings and tax payments
- A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
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