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Optimal Proportional Reinsurance Policies in a Dynamic Setting

✍ Scribed by Schmidli, Hanspeter

Book ID
118055968
Publisher
Taylor and Francis Group
Year
2001
Tongue
English
Weight
264 KB
Volume
2001
Category
Article
ISSN
0346-1238

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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~ --