Ruin Minimization for Insurers with Borrowing Constraints

References

• Bayraktar , E. and Young , V. R. 2007 . Minimizing the Probability of Lifetime Ruin under Borrowing Constraints . Insurance: Mathematics and Economics , 41 : 196 – 221 .
   Web of Science ®Google Scholar
• Browne , S. 1995 . Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probaiblity of Ruin . Mathematics of Operations Research , 20 ( 4 ) : 937 – 958 .
   Web of Science ®Google Scholar
• Browne , S. 1997 . Survival and Growth with Liability: Optimal Portfolio Strategies in Continuous Time . Mathematics of Operations Research , 22 : 468 – 492 .
   Web of Science ®Google Scholar
• Emanuel , D. C. , Harrison , J. M. and Taylor , A. J. 1975 . A Diffusion Approximation for the Ruin Probability with Compounding Assets . Scandinavian Actuarial Journal , : 37 – 45 .
   Google Scholar
• Fleming , W. H. and Soner , H. M. 1993 . Controlled Markov Processes and Viscosity Solutions , New York : Springer .
   Google Scholar
• Garrido , J. 1989 . Stochastic Differential Equations for Compounded Risk Reserves . Insurance: Mathematics and Economics , 8 : 165 – 173 .
   Web of Science ®Google Scholar
• Gerber , H. U. and Yang , H. L. 2007 . Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment . North American Actuarial Journal , 11 ( 3 ) : 159 – 169 .
   Google Scholar
• Hipp , C. and Plum , M. 2000 . Optimal Investment for Insurers . Insurance: Mathematics and Economics , 27 : 215 – 228 .
   Web of Science ®Google Scholar
• Höjgaard , B. and Taksar , M. 1998a . Optimal Proportional Reinsurance Policies for Diffusion Models with Transaction Costs . Insurance: Mathematics and Economics , 22 : 41 – 51 .
   Web of Science ®Google Scholar
• Höjgaard , B. and Taksar , M. 1998b . Optimal Proportional Reinsurance Policies for Diffusion Models . Scandinavian Actuarial Journal , : 166 – 180 .
   Google Scholar
• Jeanblanc-Picque , M. and Shiryaev , A. N. 1995 . Optimization of the Flow of Dividends . Russian Mathematical Surveys , 50 : 257 – 277 .
   Web of Science ®Google Scholar
• Luo , S. , Taksar , M. and Tsoi , A. H. 2008 . On Reinsurance and Investment for Large Insurance Portfolios . Insurance: Mathematics and Economics , 42 ( 1 ) : 434 – 444 .
   Web of Science ®Google Scholar
• Paulsen , J. 2000 . Optimal Dividend Payouts for Diffusions with Solvency Constraints . Finance and Stochastics , 4 : 457 – 474 .
   Google Scholar
• Promislow , S. D. and Young , V. R. 2005 . Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift . North American Actuarial Journal , 9 ( 3 ) : 109 – 128 .
   Google Scholar
• Rolski , T. , Schmidli , H. , Shmidt , V. and Teugels , J. 1999 . Stochastic Processes for Insurance and Finance , New York : Wiley .
   Google Scholar
• Schmidli , H. 2001 . Optimal Proportional Reinsurance Policies in a Dynamic Setting . Scandinavian Actuarial Journal , : 55 – 68 .
   Google Scholar
• Schmidli , H. 2002 . On Minimizing the Ruin Probability by Investment and Reinsurance . Annals of Applied Probability , 12 ( 3 ) : 890 – 907 .
   Web of Science ®Google Scholar
• Taksar , M. 2000 . Optimal Risk and Dividend Distribution Control for an Inurance Company . Mathematical Methods of Operations Research , 51 ( 1 ) : 1 – 42 .
   Web of Science ®Google Scholar
• Taksar , M. and Markussen , C. 2003 . Optimal Dynamic Reinsurance Policies for Large Insurance Portfolios . Finance and Stochastics , 7 : 97 – 121 .
   Web of Science ®Google Scholar
• Whittle , P. 1983 . Optimization over Time—Dynamic Programming and Stochastic Control , New York : Wiley .
   Google Scholar
• Yang , H. L. and Zhang , L. H. 2005 . Optimal Investment for Insurer with Jump-Diffusion Risk Process . Insurance: Mathematics and Economics , 37 : 615 – 634 .
   Web of Science ®Google Scholar
• Yong , J. and Zhou , X. Y. 1999 . Stochastic Controls: Hamiltonian Systems and HJB Equations , New York : Springer .
   Google Scholar
• Young , V. R. 2004 . Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin . North American Actuarial Journal , 8 ( 4 ) : 106 – 126 .
   Google Scholar