Optimal investment for an insurance company into risky and non-risky assets in the model with variable premium income process

zbMATH Open1164.91023MaRDI QIDQ3607206FDOQ3607206

Authors: Maryna O. Androshchuk, Yuliya S. Mishura 

Publication date: 28 February 2009

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationruin probabilityinvestment strategystochastic control theory

Mathematics Subject Classification ID

Cited In (8)

• Title not available (Why is that?)
• Application of the Ornstein-Uhlenbeck process to the solution of the problem of optimization of the capital ofl insurance companies taking into account advertising, as well as Black's portfolio analysis
• Maximization of the survival probability by franchise and deductible amounts in the classical risk model
• Optimal investment for insurers
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Optimal control of investment, premium and deductible for a non-life insurance company
• Optimal investment for investors with state dependent income, and for insurers
• Efficient capital management using an internal model: a case of non-life insurance

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