Optimal control of capital injections by reinsurance in a diffusion approximation

DOI10.1007/s11857-009-0066-6zbMath1183.91069MaRDI QIDQ845587

Hanspeter Schmidli, Julia Eisenberg

Publication date: 29 January 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-009-0066-6

zbMATH Keywords

Brownian motion; proportional reinsurance; excess of loss; reflected diffusion process

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

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Cites Work

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• Aspects of risk theory
• Simple approximations of ruin probabilities
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• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
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