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Optimal financing and dividend control of the insurance company with proportional reinsurance policy

✍ Scribed by Lin He; Zongxia Liang


Book ID
108153141
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
312 KB
Volume
42
Category
Article
ISSN
0167-6687

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Let a decision policy ~r correspond to a twodimensional stochastic process {tzlr(t), Lt'}, with 0 < tx~(t) \_< 1 where 1-tx,( 0 denotes the fraction of the incoming claims at time t that is reinsured and L," denotes the total payout of dividend up to time t. When applying policy ~-the reserve of the