Control of ruin probabilities by discrete-time investments

DOI10.1007/s00186-005-0445-2zbMath1101.93087OpenAlexW1992668155MaRDI QIDQ814889

Manfred Schäl

Publication date: 8 February 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0445-2

zbMATH Keywords

Markov decision processesDynamic programmingOptimal controlRuin probabilityFinancial marketOptimal investment

Mathematics Subject Classification ID

Related Items (12)

Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model ⋮ First passage problems for nonstationary discrete-time stochastic control systems ⋮ First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors ⋮ Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach ⋮ Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem ⋮ Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance ⋮ First Passage Exponential Optimality Problem for Semi-Markov Decision Processes ⋮ Finite approximation of the first passage models for discrete-time Markov decision processes with varying discount factors ⋮ Mean-variance portfolio selection for a non-life insurance company ⋮ MDP algorithms for portfolio optimization problems in pure jump markets ⋮ First passage risk probability optimality for continuous time Markov decision processes ⋮ Minimizing Upper Bound of Ruin Probability Under Discrete Risk Model with Markov Chain Interest Rate

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