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Optimal proportional reinsurance model with

✍ Scribed by Ruicheng Yang; Xuezhi Qin

Book ID
107619758
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
424 KB
Volume
28
Category
Article
ISSN
1598-5865

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πŸ“œ SIMILAR VOLUMES

Optimal proportional reinsurance policie
Optimal proportional reinsurance policies for diffusion models with transaction costs
✍ Bjarne HΓΈjgaard; Michael Taksar πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 451 KB

This paper extends the results of Hojgaard and Taksar (1997a) to the case of posititve transactions costs. The setting here and in HCjgaard and Taksar (1997a) is the following: When applying a proportional reinsurance policy rr the reserve of the insurance company {R~ r } is governed by a SDE dR~ --