Citation
C. Hipp et M. Taksar, Stochastic control for optimal new business, INSUR MATH, 26(2-3), 2000, pp. 185-192
Citations number
4
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687
→ ACNP
Volume
26
Issue
2-3
Year of publication
2000
Pages
185 - 192
Database
ISI
SICI code
0167-6687(20000508)26:2-3<185:SCFONB>2.0.ZU;2-L
Abstract
Given an insurance portfolio, investment in new business is used to minimiz
e the probability of technical ruin for the total position. This is a simpl
e stochastic control problem for which solutions can be characterized and c
omputed when the risk processes for old and new business are modelled by co
mpound Poisson processes. (C) 2000 Elsevier Science B.V. All rights reserve
d. JEL classification: C610, C690.