Lectures on the use of control theory in insurance
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Publication:4311650
DOI10.1080/03461238.1994.10413927zbMath0802.62090OpenAlexW2074916855MaRDI QIDQ4311650
Publication date: 30 October 1994
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1994.10413927
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Linear programming (90C05) Miscellaneous topics in calculus of variations and optimal control (49N99) Linear optimal control problems (49N05)
Related Items (15)
Optimal control of risk exposure, reinsurance and investments for insurance portfolios ⋮ Controlled diffusion models for optimal dividend pay-out ⋮ Optimal premium pricing for a heterogeneous portfolio of insurance risks ⋮ Optimal dividends for regulated insurers with a nonlinear penalty ⋮ Premium control with reinforcement learning ⋮ Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy ⋮ Thiele's differential equation with stochastic interest of diffusion type ⋮ On the robust stability of pricing models for non-life insurance products ⋮ Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion ⋮ Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework ⋮ On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance ⋮ Stochastic control for optimal new business ⋮ Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate ⋮ Optimal proportional reinsurance policies for diffusion models ⋮ Optimal investment for insurer with jump-diffusion risk process
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