Optimal Control and Sensitivity Analysis for Two Risk Models

Ekaterina Bulinskaya, Julia Gusak

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)

Abstract

Two periodic-review models arising in insurance are considered in the framework of cost approach. The first one treats the insurance company performance under assumption of capital injections and reinsurance. The second one deals with assets selling and bank loans. The aim of the article is to demonstrate the method for establishing the optimal control of such applied stochastic models and to study their stability. For this purpose, sensitivity analysis is carried out. Numerical results are also provided.

Original languageEnglish
Pages (from-to)1451-1466
Number of pages16
JournalCommunications in Statistics: Simulation and Computation
Volume45
Issue number5
DOIs
Publication statusPublished - 27 May 2016
Externally publishedYes

Keywords

  • Assets selling
  • Bank loans
  • Dynamic programming
  • Nonproportional reinsurance
  • Optimal control
  • Periodic-review model

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