Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

59 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, background): “…expected exponential utility from the terminal wealth under different market assumptions; Bai and Guo (2008), Luo et al. (2008), Luo (2009) and Azcue and Muler (2009) investigated the optimal investment and reinsurance strategies to minimize the ruin probability of insurers in different…”
Optimal investment policy and dividend payment strategy in an insurance company (2010, background): “The function S can be called the scale function of the surplus process as in Revuz and Yor (1999), and it is a solution of L (S) = 0 but with parameter c equal to zero [see Azcue and Muler (2009)].”
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “(2) Intertemporal demand will be affected by the horizon T − t.”