scientific article; zbMATH DE number 2051943

zbMATH Open1067.91037MaRDI QIDQ4453974FDOQ4453974

Authors: Lifei Zeng, Zhaopeng Ding, Xuelei Zhao 

Publication date: 7 March 2004

Title of this publication is not available (Why is that?)

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zbMATH Keywords

ruin probabilitystochastic controlBellman equation

Mathematics Subject Classification ID

Special processes (60K99) Existence theories for free problems in two or more independent variables (49J10)

Cited In (13)

• Optimal new business for insurer to minimize the ruin probability under interest force
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• Optimal portfolio selection bounded by a safety-first criterion for insurer
• Optimal investment and consumption for an insurer with high-watermark performance fee
• Optimal investment for an insurer: the martingale approach
• Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
• Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
• Sub-optimal investment for insurers
• Optimal investment for investors with state dependent income, and for insurers
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