Minimising expected discounted capital injections by reinsurance in a classical risk model

DOI10.1080/03461231003690747zbMath1277.60145OpenAlexW1965830397MaRDI QIDQ2866283

Hanspeter Schmidli, Julia Eisenberg

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461231003690747

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationstochastic controlreinsurancecapital injectionsclassical risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (23)

On a class of dependent Sparre Andersen risk models and a bailout application ⋮ On capital injections and dividends with tax in a classical risk model ⋮ Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ A Note on Gerber–Shiu Functions with an Application ⋮ Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model ⋮ The finite time ruin probability in a risk model with capital injections ⋮ Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem ⋮ On optimal control of capital injections by reinsurance and investments ⋮ On a time-changed Lévy risk model with capital injections and periodic observation ⋮ Irreversible reinsurance: a singular control approach ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs ⋮ On a generalization of the expected discounted penalty function to include deficits at and beyond ruin ⋮ Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance ⋮ Ruin probability via quantum mechanics approach ⋮ On the time to ruin for a dependent delayed capital injection risk model ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ Ruin probabilities under capital constraints ⋮ Optimal reinsurance via Dirac-Feynman approach ⋮ On fair reinsurance premiums; capital injections in a perturbed risk model ⋮ Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest ⋮ On the central management of risk networks

Cites Work

• Unnamed Item
• On the Gerber-Shiu function and change of measure
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Point processes and queues. Martingale dynamics
• Aspects of risk theory
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• Some Optimal Dividends Problems

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