Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin
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Cites work
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- Markov Chains
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- On minimizing the ruin probability by investment and reinsurance
- On the deficit distribution when ruin occurs -- discrete time model
- Optimal investment for insurers
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Stochastic control for optimal new business
- Tail events of some nonhomogeneous Markov chains
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