Optimal control of the surplus in an insurance policy
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jeong, Mi Ock | - |
dc.contributor.author | Lee, Eui Yong | - |
dc.date.available | 2021-02-22T13:46:10Z | - |
dc.date.issued | 2010-12 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.issn | 1876-4231 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/13083 | - |
dc.description.abstract | A classical continuous time surplus process is modified by adding two actions If the level of the surplus goes below tau >= 0 we increase the level of the surplus up to initial level u > tau by injecting capital to the surplus Meanwhile the excess amount of the surplus over V > u is invested continuously to other business After assigning several costs related to managing the surplus we obtain the long-run average cost per unit time and illustrate a numerical example to show how to find an optimal investment policy minimizing the cost (C) 2009 The Korean Statistical Society Published by Elsevier B V All rights reserved | - |
dc.format.extent | 7 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.title | Optimal control of the surplus in an insurance policy | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.doi | 10.1016/j.jkss.2009.09.002 | - |
dc.identifier.scopusid | 2-s2.0-77957969071 | - |
dc.identifier.wosid | 000284433400004 | - |
dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.39, no.4, pp 431 - 437 | - |
dc.citation.title | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
dc.citation.volume | 39 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 431 | - |
dc.citation.endPage | 437 | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001511396 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | RUIN PROBABILITY | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordPlus | TIME | - |
dc.subject.keywordAuthor | Continuous time surplus process | - |
dc.subject.keywordAuthor | Long run average cost | - |
dc.subject.keywordAuthor | Optimal investment policy | - |
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