Optimal investment-dividend policy of an insurance firm under regulation

DOI10.1080/03461238.1983.10408692zbMATH Open0519.62090OpenAlexW2110946646MaRDI QIDQ3668697FDOQ3668697

Authors Charles S. Tapiero, Dror Zuckerman, Yehuda Kahane 

Publication date 1983

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1983.10408692

zbMATH Keywords

diffusion approximationregulationcompound Poisson processlinear second order ordinary differential equationextension of Cramer-model of ruin probabilitygeneral claim size distributionoptimal investment-dividend policy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• scientific article; zbMATH DE number 3292535 (Why is no real title available?)
• Band strategies: The random walk of reserves
• Regenerative processes in the theory of queues, with applications to the alternating-priority queue

Cited in

(3)

• Insurance premiums and default risk in mutual insurance
• Optimal investment policy of an insurance firm
• Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process

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