Der Aktuar ist ein wissenschaftlich ausgebildeter Experte, der mit mathematischen Methoden der Wahrscheinlichkeitstheorie und der Finanzmathematik Fragestellungen aus den Bereichen Versicherungs- und Bausparwesen, Kapitalanlage und Altersversorgungssysteme analysiert und unter Berücksichtigung...

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. ...

Durch die Deregulierung des deutschen Versicherungsmarktes haben die deutschen Lebensversicherungsunternehmen ganz neue Freiheiten bei der Gestaltung ihrer Produkte erhalten. Durch diese neue Dimension der Flexibilität ist es jetzt möglich, spezifischer auf die Probleme und Bedürfnisse...

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...

This paper considers a problem of DU (Ee and Richardson in an economy in which there are two observable processes X and Y both driven by Brownian motions.

... The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case ...

In a talk given at the Royal Statistical Society of London, Karl Borch in 1967 made the following statement (see Taksar 44):...It took some more time until the first papers on stochastic control in insurance appeared. Since then we can see a rapid development of this field with a series of...