Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest

DOI10.1239/jap/1316796911zbMath1230.91072MaRDI QIDQ3094689

Julia Eisenberg, Hanspeter Schmidli

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1316796911

zbMATH Keywords

optimal control; Hamilton-Jacobi-Bellman equation; stochastic control; classical risk model; capital injection

Mathematics Subject Classification ID

60J65: Brownian motion

93E20: Optimal stochastic control

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model, Optimal reinsurance: minimize the expected time to reach a goal, Barrier present value maximization for a diffusion model of insurance surplus, Optimal control with restrictions for a diffusion risk model under constant interest force, Minimisation of penalty payments by investments and reinsurance, Discrete-time insurance model with capital injections and reinsurance, Maximizing a robust goal-reaching probability with penalization on ambiguity, Minimal cost of a Brownian risk without ruin, Optimal multidimensional reinsurance policies under a common shock dependency structure

Cites Work

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