Band strategies: The random walk of reserves

Blätter der DGVFM - Tập 14 - Trang 231-236 - 1979
Marc Hallin1
1Brüssel, Belgium

Tóm tắt

Band strategies appear in risk theory and in various areas of operational research. We study here the random walk generated by such strategies in the continuous model of Gerber [3]. The exact solution is derived by solving an integro-differential system.

Tài liệu tham khảo

Borch, K.: “The Theory of Risk”, Journal of the Royal Stat. Soc. (B) 29, 432 - 467 (1967).

de Finetti, B.: “Su un’ Impostazione Alternativa della Teoria Collettiva del Rischio”, Transactions of the XVth International Congress of Actuaries, Vol. 2 (1957).

Gerber, H. V.: “Entscheidungskriterien für den zusammengesetzten Poisson-Prozess“, Mitteilungen der Vereinigten Schweizer Versicherungsmathematiker 69, 185 - 228 (1969).

Hallin, M.: Jeux de survie économique et Théorie moderne du Risque, Cahiers du Centre d’Etudes de Recherche Opérationnelle 15 nℴ 1, 16 - 38 (1973).