Optimal control and sensitivity analysis for two risk models
DOI10.1080/03610918.2014.930904zbMATH Open1386.91078OpenAlexW2000244829MaRDI QIDQ2816670FDOQ2816670
Ekaterina V. Bulinskaya, Julia Gusak
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
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dynamic programmingoptimal controlnonproportional reinsurancebank loansperiodic-review modelassets selling
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)
Cites Work
- 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
- A review of discrete-time risk models
- On minimizing the ruin probability by investment and reinsurance
- Maximizing Dividends without Bankruptcy
- Optimal control of capital injections by reinsurance in a diffusion approximation
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Discrete-time insurance model with capital injections and reinsurance
- Cost and reliability approaches in inventory theory
- Survival probabilities in bivariate risk models, with application to reinsurance
Cited In (10)
- Modeling and asymptotic analysis of insurance company performance
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- 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
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- Sensitivity analysis of some applied probability models
- Scenario analysis for a multi-period diffusion model of risk
- Reliability of a Discrete-Time System with Investment
- Discrete-time insurance models
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