Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
From MaRDI portal
Publication:4593611
DOI10.1007/978-0-8176-8337-5_14zbMATH Open1376.91100OpenAlexW69810375MaRDI QIDQ4593611FDOQ4593611
Authors: Rosario Romera, Wolfgang J. Runggaldier 
Publication date: 22 November 2017
Published in: Systems & Control: Foundations & Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-0-8176-8337-5_14
Recommendations
- On minimizing the ruin probability by investment and reinsurance
- Minimization of ruin probability with joint strategies of investment and reinsurance
- Minimization of ruin probability under excess-claim reinsurance and investment
- Optimal proportional reinsurance and investment with minimizing ruin probability
- Optimal proportional reinsurance and investment with minimum probability of ruin
- Ruin probability and optimal investment and excess of loss reinsurance policy
- Optimal investment and reinsurance for an insurer under Markov-modulated financial market
- Minimizing the ruin probability of risk processes with reinsurance
- Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
Cites Work
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Title not available (Why is that?)
- Continuous-time Markov decision processes. Theory and applications
- Selected topics on continuous-time controlled Markov chains and Markov games
- Title not available (Why is that?)
- Aspects of risk theory
- Sharp conditions for certain ruin in a risk process with stochastic return on investments
- Ruin probabilities under general investments and heavy-tailed claims
- On minimizing the ruin probability by investment and reinsurance
- Title not available (Why is that?)
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- Discounted probabilities and ruin theory in the compound binomial model
- Optimal Dynamic XL Reinsurance
- Control of ruin probabilities by discrete-time investments
- Risk model with fuzzy random individual claim amount
- Asymptotic ruin probabilities and optimal investment
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- Ruin probability in the Cramér-Lundberg model with risky investments
- On optimal investment in a reinsurance context with a point process market model
- Inequalities for the ruin probability in a controlled discrete-time risk process
- Limiting discounted-cost control of partially observable stochastic systems
- On the distribution of surplus immediately after ruin under interest force and subexponential claims
- The scalarization approach to multiobjective Markov control problems: \textit{Why} does it work?
Cited In (3)
This page was built for publication: Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4593611)
