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Optimal investment and reinsurance policies in insurance markets under the effect of inside information

  • Published:2011-09-14 Issue:6 Volume:28 Page:506-528
  • ISSN:1524-1904
  • Container-title:Applied Stochastic Models in Business and Industry
  • language:en
  • Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Baltas I.D.1,Frangos N.E.1,Yannacopoulos A.N.1

Affiliation:

1. Department of Statistics; Athens University of Economics and Business; Athens; Greece

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference31 articles.

1. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin;Browne;Mathematics of Operations Research,1995

2. Optimal proportional reinsurance policies for diffusion models with transaction costs;Hojgaard;Insurance: Mathematics and Economics,1998

3. Minimizing the probability of ruin when claims follow Brownian motion with drift;Promislow;North American Actuarial Journal,2005

4. Optimal proportional reinsurance policies in a dynamic setting;Schmidli;Scandinavian Actuarial Journal,2001

5. On minimizing the ruin probability by investment and reinsurance;Schmidli;The Annals of Applied Probability,2002

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