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
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
Journal title :
Insurance Mathematics and Economics