Title of article
Stochastic control for optimal new business
Author/Authors
Hipp، نويسنده , , Christian and Taksar، نويسنده , , Michael، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
8
From page
185
To page
192
Abstract
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.
Keywords
New business , stochastic control , Ruin probability
Journal title
Insurance Mathematics and Economics
Serial Year
2000
Journal title
Insurance Mathematics and Economics
Record number
1544357
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