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Stochastic Optimization in Insurance pp 97–122Cite as

Optimal Strategies

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Abstract

The aim of the present chapter is to show the existence of optimal stationary strategies in the classical risk models. We start with the problems of dividend payments and consider first the simplest problem without reinsurance or investment control.

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Authors and Affiliations

  1. Department of Mathematics & Statistics, Universidad Torcuato Di Tella, Buenos Aires, Argentina

    Pablo Azcue & Nora Muler

Authors
  1. Pablo Azcue
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  2. Nora Muler
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Azcue, P., Muler, N. (2014). Optimal Strategies. In: Stochastic Optimization in Insurance. SpringerBriefs in Quantitative Finance. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-0995-7_5

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