Optimal investment for insurers

DOI10.1016/S0167-6687(00)00049-4zbMath1007.91025OpenAlexW2037007317MaRDI QIDQ5942779

Christian Hipp, Michael Plum

Publication date: 4 December 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00049-4

zbMATH Keywords

ruin probabilityinvestmentBellman's equationcompound Poisson processgeometric Brownian motionstochastic control theory

Mathematics Subject Classification ID

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Cites Work

• Unnamed Item
• Stochastic control for optimal new business
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal proportional reinsurance policies for diffusion models
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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