Asymptotic behavior of the processes describing some insurance models

Ekaterina Bulinskaya and Alexander Gromov

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 6, 1778-1793

Abstract: The aim of the article is to establish the optimal control of applied stochastic models under incomplete information. To this end, a three-step algorithm for construction of so-called empirical asymptotically optimal policies is proposed. For illustration, we treat two input–output models arising in various domains of applied probability such as insurance, inventory, and queueing theory. Both models are considered in the framework of cost approach. The first one describes the insurance company using assets selling and bank loans. The second one treats the capital injections and reinsurance. Numerical results are also provided.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2014.985840 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:45:y:2016:i:6:p:1778-1793

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2014.985840

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().