Optimisation in Non-Life Insurance
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Publication:3424145
DOI10.1080/15326340600878420zbMath1107.93036OpenAlexW2080609339MaRDI QIDQ3424145
Publication date: 15 February 2007
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326340600878420
optimal controlHamilton-Jacobi-Bellman equationstochastic controlruin probabilitychange of measuresubexponential distributionproportional reinsurancedividendsCramér-Lundberg approximationsmall claims
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic processes (60G99)
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Cites Work
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- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Martingales and insurance risk
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Optimal investment for insurers
