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Optimal proportional reinsurance policies for diffusion models

✍ Scribed by Højgaard, B.; Taksar, M.

Book ID
118055969
Publisher
Taylor and Francis Group
Year
1998
Tongue
English
Weight
553 KB
Volume
1998
Category
Article
ISSN
0346-1238

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Optimal proportional reinsurance policie
Optimal proportional reinsurance policies for diffusion models with transaction costs
✍ Bjarne Højgaard; Michael Taksar 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 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~ --