Asymptotics of ruin probabilities for controlled risk processes in the small claims case

DOI10.1080/03461230410000538zbMath1087.62116MaRDI QIDQ5467663

Hanspeter Schmidli, Christian Hipp

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230410000538

zbMATH Keywords

optimal control; martingale; ruin probability; change of measure; geometric Brownian motion; adjustment coefficient; Cramér-Lundberg approximation; Lundberg bounds

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Optimal Proportional Reinsurance and Ruin Probability, Optimal investment for an insurer with exponential utility preference, Asymptotic and numerical analysis of the optimal investment strategy for an insurer, Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin, On ruin probability minimization under excess reinsurance, An optimal investment strategy with maximal risk aversion and its ruin probability, Optimal control of risk exposure, reinsurance and investments for insurance portfolios, On optimal investment and subexponential claims, ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS, Optimisation in Non-Life Insurance

Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Asymptotic ruin probabilities and optimal investment
• Optimal investment for investors with state dependent income, and for insurers
• On minimizing the ruin probability by investment and reinsurance
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Optimal proportional reinsurance policies for diffusion models
• Optimal investment for insurers