Stochastic control for optimal new business

Given an insurance Portfolio, investment in new business is used to minimize the probability of technical ruin for the total position. This is a simple stochastic control problem for which solutions can be characterized and computed when the risk processes for old and new business are modelled by compound Poisson processes.

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Year of publication:	2000
Authors:	Hipp, Christian ; Taksar, Michael
Publisher:	Universität <Karlsruhe> / Lehrstuhl für Versicherungswissenschaft
Subject:	Versicherungsbetriebslehre \| insurance management \| Versicherungswissenschaft \| insurance economics \| Versicherungsmathematik

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Extent:	66560 bytes 12 p. application/pdf
Series:	Universität Karlsruhe - Lehrstuhl für Versicherungswissenschaft - Veröffentlichungen
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005845998