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Optimal proportional reinsurance with constant dividend barrier

✍ Scribed by Yuan Haili; Hu Yijun


Book ID
108422407
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
203 KB
Volume
30
Category
Article
ISSN
0252-9602

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Optimal proportional reinsurance policie
✍ 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~ --