Optimal control of investment, premium and deductible for a non-life insurance company
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Publication:2665865
DOI10.1016/J.INSMATHECO.2021.07.005zbMATH Open1475.91293OpenAlexW3161004238MaRDI QIDQ2665865FDOQ2665865
Authors: Bent Jesper Christensen, Juan Carlos Parra-Alvarez, Rafael Serrano 
Publication date: 19 November 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.07.005
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Hamilton-Jacobi-Bellman equationstochastic optimal controladverse selectionjump-diffusionoptimal investment strategypremium controldeductible control
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Cited In (7)
- Risk- and value-based management for non-life insurers under solvency constraints
- Optimal Premium Control in a Non-life Insurance Business
- Optimal investment strategy for a non-life insurance company: quadratic loss
- Optimal per claim deductibility in insurance with the possibility of risky investments
- On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
- Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
- Irreversible reinsurance: a singular control approach
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