In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models. The policy improvement method works also in continuous...

Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be solved numerically by three essentially different methods. One is based on a modified Bellman equation and the policy improvement method (see Hipp (2003)). In this paper we use...

We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a given value α. This is done in most simple discrete De Finetti models. We characterize the value function V(s,α) for initial surplus s of this problem, characterize the...

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...

We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. ...

An optimal control problem is considered where a risky asset is used for investment and this investment is ...nanced by initial wealth as well as by a state dependent income. The objektive function is accumulated discounted aspected utility of the wealth, where the utility function is increasing...

We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...