Optimal control of investment, premium and deductible for a non-life insurance company
Year of publication: |
2021
|
---|---|
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
|
Subject: | Adverse selection | Deductible control | Hamilton-Jacobi-Bellman equation | Jump-diffusion | Optimal investment strategy | Premium control | Stochastic optimal control | Kontrolltheorie | Control theory | Adverse Selektion | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming |
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