On optimal control of capital injections by reinsurance and investments
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Accounting
Link
http://link.springer.com/content/pdf/10.1007/s11857-010-0124-0.pdf
Reference10 articles.
1. Albrecher H, Thonhauser S (2007) Dividend maximization under consideration of the time value of ruin. Insur Math Econ 41:163–184
2. Azcue P, Muler N (2005) Optimal reinsurance and dividend distribution policies in the Cramér–Lundberg model. Math Finance 15:261–308
3. Bardi M, Capuzzo-Dolcetta I (1997) Optimal control and viscosity solutions of Hamilton–Jacobi–Bellman equations. Birkhäuser, Boston
4. Benth FE, Karlsen KH, Reikvam K (2001) Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Finance Stoch 5(3):275–303
5. Eisenberg J (2010) Optimal control of capital injections by reinsurance and investments. PhD thesis, Universität zu Köln. http://kups.ub.uni-koeln.de/volltexte/2010/3037/pdf/Diss.pdf
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1. Reducing the Possibility of Ruin by Maximizing the Survival Function for the Insurance Company’s Portfolio;Journal of Mathematics;2022-05-09
2. An optimal reinsurance problem in the Cramér–Lundberg model;Mathematical Methods of Operations Research;2016-09-24
3. Minimisation of penalty payments by investments and reinsurance;European Actuarial Journal;2016-03-15
4. PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS;ASTIN Bulletin;2014-09-15
5. Optimal investment under transaction costs for an insurer;European Actuarial Journal;2013-10-15
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