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Stochastic control for optimal new business

✍ Scribed by Christian Hipp; Michael Taksar

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
902 KB
Volume
26
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

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.

πŸ“œ SIMILAR VOLUMES

Optimal stochastic control
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✍ W.M. Wonham πŸ“‚ Article πŸ“… 1969 πŸ› Elsevier Science 🌐 English βš– 576 KB

Some informal remarks are offered on the present status and future direction of stochastic control. Summary--It is indicated that optimal stochastic control is still in its infancy, and that at the present time it has little use in practice although a wide class of problems can be precisely stated.

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✍ Richard J Orford πŸ“‚ Article πŸ“… 1963 πŸ› Elsevier Science 🌐 English βš– 486 KB