Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258866 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 3 [Article No.:] 143 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its cash-balance dynamics by regulating the underlying premium rate, the aim of the policy maker is to select an appropriate premium in order to minimize the total deviation of the state process to some pre-set target level. As a part of stochastic maximum principle approach, a verification theorem is used to fulfill this achievement.
Subjects: 
forward-backward stochastic differential equations
teugels martingales
lévy processes
optimal premium policies
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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