Optimal strategies in a game of economic survival

DOI10.1002/NAV.3800290103MaRDI QIDQ3328320zbMATHOpenAlexFDO

Authors Karl Borch

Publication date 1982

Published in Naval Research Logistics Quarterly (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nav.3800290103

zbMATH Keywords

optimal strategygambler's ruinband strategyapplications to insurancegames of economic survival

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Game theory (91A99) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3216771 (Why is no real title available?)
• A Model of Stochastic-Dynamic Prognosis
• Band strategies: The random walk of reserves
• One‐person games of economic survival
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions

Cited in

(4)

• Optimal strategy in the insurer-policyholder game in the stochastic market interest rate environment
• Maximizing survival time in a random walk on an interval
• Optimal dividend payout model with risk sensitive preferences
• Pricing insurance contracts -- an economic viewpoint

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