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092030 (M13) Continuous time optimal control models in insurance : Taksar M., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 87 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80651-8

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📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 88 KB

Yushkevich can also be applied to certain models where control of the flow is possible. The method consists in a transformation to a model without control of the flow by a kind of time change.

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The problem of determining optimal retention levels for a non-life portfolio consisting of a number of independent sub-portfolios was first discussed by de Finetti (1946). He considered retention levels to be optimal if they minimized the variance of the insurer's profit from the portfolio subject t

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