Optimal control of investment, premium and deductible for a non-life insurance company
Bent Jesper Christensen, Juan Carlos Parra-Alvarez, Rafael Serrano
| Year of publication: |
2021
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|---|---|
| Authors: | Christensen, Bent Jesper ; Parra-Alvarez, Juan Carlos ; Serrano, Rafael |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 101.2021, 2, p. 384-405
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| Subject: | Adverse selection | Deductible control | Hamilton-Jacobi-Bellman equation | Jump-diffusion | Optimal investment strategy | Premium control | Stochastic optimal control | Adverse Selektion | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.07.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793933