Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin

DOI10.1016/J.INSMATHECO.2005.04.006MaRDI QIDQ882869zbMATH OpenOpenAlexWikidataFDO

Authors Agnieszka Groniowska, Wojciech Niemiro

Publication date 24 May 2007

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.04.006

zbMATH Keywords

Bellman operatorcontrolLundberg inequalityruin

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20)

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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

Cited in

(2)

• Inequalities for the ruin probability in a controlled discrete-time risk process
• Bounds for the Ruin Probability of a Discrete-Time Risk Process

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