Stochastic control for optimal new business

被引：25

作者：

Hipp, C

Taksar, M

机构：

[1] Univ Karlsruhe, D-76128 Karlsruhe, Germany

[2] SUNY Stony Brook, Stony Brook, NY 11794 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2000年 / 26卷 / 2-3期

关键词：

stochastic control; new business; ruin probability;

D O I：

10.1016/S0167-6687(99)00052-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: C610, C690.

引用

页码：185 / 192

页数：8