Optimal control and sensitivity analysis for two risk models

DOI10.1080/03610918.2014.930904MaRDI QIDQ2816670zbMATH OpenOpenAlexFDO

Authors Julia Gusak, Ekaterina V. Bulinskaya

Publication date 25 August 2016

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2014.930904

zbMATH Keywords

dynamic programmingoptimal controlnonproportional reinsurancebank loansperiodic-review modelassets selling

Mathematics Subject Classification ID

Dynamic programming (90C39) Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Recommendations

• Sensitivity analysis of some applied probability models
• Asymptotic analysis and optimization of some insurance models
• Singular optimal control models of a proportional reinsurance problem
• Asymptotic behavior of the processes describing some insurance models
• Optimal risk and dividend distribution control models for an insurance company

Cites work

• A review of discrete-time risk models
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• Cost and reliability approaches in inventory theory
• Discrete-time insurance model with capital injections and reinsurance
• Maximizing Dividends without Bankruptcy
• On minimizing the ruin probability by investment and reinsurance
• Optimal control of capital injections by reinsurance in a diffusion approximation
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Probabilistic Sensitivity Analysis of Complex Models: A Bayesian Approach
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• Some Optimal Dividends Problems
• Survival probabilities in bivariate risk models, with application to reinsurance

Cited in

(11)

• Modeling and asymptotic analysis of insurance company performance
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• Reliability of a discrete-time system with investment
• Optimal control and simulation for enterprise financial risk in industry environment
• Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
• Asymptotic analysis and optimization of some insurance models
• Asymptotic behavior of the processes describing some insurance models
• scientific article; zbMATH DE number 1507332 (Why is no real title available?)
• Sensitivity analysis of some applied probability models
• Scenario analysis for a multi-period diffusion model of risk
• Discrete-time insurance models

This page was built for publication: Optimal control and sensitivity analysis for two risk models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2816670)