Maximization of the survival probability by franchise and deductible amounts in the classical risk model

DOI10.1007/978-3-319-03512-3_16zbMATH Open1331.91102OpenAlexW344284263MaRDI QIDQ2946097FDOQ2946097

Authors: O. Yu. Ragulina 

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-03512-3_16

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationruin probabilityoptimal deductibleoptimal franchise

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99)

Cites Work

• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Optimal investment for insurers
• Title not available (Why is that?)
• Aspects of risk theory
• Optimal non-proportional reinsurance control
• Applied stochastic control of jump diffusions.
• On minimizing the ruin probability by investment and reinsurance
• Title not available (Why is that?)
• Optimal Dynamic XL Reinsurance
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Optimal investment for investors with state dependent income, and for insurers
• Optimal investment for an insurance company into risky and non-risky assets in the model with variable premium income process

Cited In (3)

• A problem of optimal conditional deductible choice in the classical risk model
• On the non-ruin probability of an insurance company in the classical risk model using conditional franchise and limit of responsibility
• On the survival probability of an insurance company in two risk models

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