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Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle

✍ Scribed by Ming Zhou; Kam C. Yuen

Book ID
116424383
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
281 KB
Volume
29
Category
Article
ISSN
0264-9993

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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