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

DOI10.1007/978-3-319-03512-3_16MaRDI QIDQ2946097zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationruin probabilityoptimal deductibleoptimal franchise

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3844884 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Applied stochastic control of jump diffusions.
• Aspects of risk theory
• On minimizing the ruin probability by investment and reinsurance
• Optimal Dynamic XL Reinsurance
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal investment for an insurance company into risky and non-risky assets in the model with variable premium income process
• Optimal investment for insurers
• Optimal investment for investors with state dependent income, and for insurers
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Optimal non-proportional reinsurance control
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

Cited in

(3)

• A problem of optimal conditional deductible choice in the classical risk model
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• On the survival probability of an insurance company in two risk models

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