Optimal investment under transaction costs for an insurer
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Publication:487570
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3563431 (Why is no real title available?)
- scientific article; zbMATH DE number 1857897 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- A policy iteration algorithm for fixed point problems with nonexpansive operators
- Applied stochastic control of jump diffusions.
- Asymptotic ruin probabilities and optimal investment
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Control improvement for jump-diffusion processes with applications to finance
- Diffusion approximations in collective risk theory
- In the insurance business risky investments are dangerous
- Markov decision processes with applications to finance.
- On minimizing the ruin probability by investment and reinsurance
- On optimal control of capital injections by reinsurance and investments
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal constrained investment in the Cramer-Lundberg model
- Optimal investment for insurers
- Optimal investment for investors with state dependent income, and for insurers
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Power tailed ruin probabilities in the presence of risky investments.
- Risk theory in a stochastic economic environment
- Ruin probabilities
- Ruin probabilities in the presence of regularly varying tails and optimal investment.
- Ruin theory with stochastic return on investments
Cited in
(11)- The optimal policy for an insurance company with real investment
- Portfolio selection by minimizing the present value of capital injection costs
- Optimal investment problem between two insurers with value-added service
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Optimal control of the surplus in an insurance policy
- Optimal investment and consumption for an insurer with high-watermark performance fee
- Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
- Optimal investment and reinsurance with premium control
- Optimal investment with transaction costs and dividends for an insurer
- Sub-optimal investment for insurers
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
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