Optimal investment for insurers

Insurance: Mathematics and Economics

Volumn 27, Issue 2, 2000, Pages 215-228

  Hipp, Christian ^a   Plum, Michael ^a  

^a UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Investment; Ruin probability; Stochastic control

Indexed keywords

EID: 0006157712     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(00)00049-4     Document Type: Article

References (5)

1. Browne S. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Mathematics of Operations Research. 20:1995;937-958.
2. Fleming, W.H., Soner, M., 1993. Controlled Markov Processes and Viscosity Solutions. Springer, New York.
3. Hipp, C., Taksar, M., 2000. Stochastic control for optimal new business. Insurance: Mathematics and Economics 26, 185-192.
4. Hoejgaard, B., Taksar, M., 1998. Optimal proportional reinsurance policies for diffusion models. Scandinavian Actuarial Journal, 166-180.
5. Schmidli, H., 1999. Optimal proportional reinsurance policies in a dynamic setting. Research Report 403. Department of Theoretical Statistics, Aarhus University, Denmark.