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Zone-Adaptive Control Strategy for a Multiperiodic Model of Risk

Published online by Cambridge University Press:  10 May 2011

V. K. Malinovskii
V. K. Malinovskii
Affiliation:
Finance Academy, 125468, Leningradskiy prosp., 49, Moscow, Russia, and Steklov Mathematical Institute, 119991, Gubkina Str., 8, Moscow, Russia
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Abstract

This paper is intended to illustrate the adaptive control approach in insurance. A zone-adaptive control strategy harmonising the requirements of principles of solvency and equity is considered in the simplistic framework of a diffusion multiperiodic risk model. Other works by the author set similar adaptive control strategies in a more realistic Poisson-exponential multiperiodic risk model. There is much scope for further generalisations.

Keywords

Multiperiodic Insurance ProcessEquitySolvencyZone-Adaptive ControlDiffusion Risk Model
Type
Papers
Information
Annals of Actuarial Science , Volume 2 , Issue 2 , September 2007 , pp. 349 - 367
Copyright
Copyright © Institute and Faculty of Actuaries 2007

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