Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case

DOI10.1023/B:QUES.0000021146.65596.84zbMath1056.90037MaRDI QIDQ596416

Publication date: 10 August 2004

Published in: Queueing Systems (Search for Journal in Brave)

optimal control subexponential distributions heavy tails ruin probability geometric Brownian motion adjustment coefficient Cramér-Lundberg approximation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Numerical optimization and variational techniques (65K10) Queues and service in operations research (90B22) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (10)

Worst-case-optimal dynamic reinsurance for large claims ⋮ Optimal investment and reinsurance for an insurer under Markov-modulated financial market ⋮ Optimal multidimensional reinsurance policies under a common shock dependency structure ⋮ Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps ⋮ On ruin probability minimization under excess reinsurance ⋮ On optimal investment and subexponential claims ⋮ Large deviations for risk processes with reinsurance ⋮ Optimal proportional reinsurance policies for stochastic models ⋮ Optimisation in Non-Life Insurance

This page was built for publication: Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case