Ruin probabilities under an optimal investment and proportional reinsurance policy in a jump diffusion risk process

DOI10.1017/S144618110900042XzbMATH Open1189.91082OpenAlexW2152522597MaRDI QIDQ3564628FDOQ3564628

Publication date: 26 May 2010

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s144618110900042x

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scientific article; zbMATH DE number 6001275

Hamilton-Jacobi-Bellman equation proportional reinsurance ruin probability optimal investment policy Lundberg's equality

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

Optimal dynamic reinsurance policies for large insurance portfolios
Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
Optimal investment for insurers
Optimal investment for insurer with jump-diffusion risk process
Risk theory for the compound Poisson process that is perturbed by diffusion
On minimizing the ruin probability by investment and reinsurance
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
On reinsurance and investment for large insurance portfolios
Upper bound for ruin probabilities under optimal investment and proportional reinsurance
Optimal Investment for an Insurer to Minimize Its Probability of Ruin
On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
Asymptotic ruin probabilities and optimal investment
Optimal investment for investors with state dependent income, and for insurers
Optimal Proportional Reinsurance and Ruin Probability
Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
Some distributions for classical risk process that is perturbed by diffusion
Ruin theory for classical risk process that is perturbed by diffusion with risky investments

Cited In (12)

Minimizing expected time to reach a given capital level before ruin
Optimal investment and reinsurance in a jump diffusion risk model
Title not available (Why is that?)
Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
Title not available (Why is that?)
Title not available (Why is that?)
Optimal investment-reinsurance strategy in the correlated insurance and financial markets
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
Title not available (Why is that?)
Ruin probability and optimal investment and excess of loss reinsurance policy
Optimal investment and optimal reinsurance policy for jump-diffusion risk model
Optimal proportional reinsurance and investment with minimizing ruin probability

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