Optimal risk control policies for diffusion models with non-cheap proportional reinsurance and bankruptcy value

092046 (E10, B90) Optimal dividend pay-o

092046 (E10, B90) Optimal dividend pay-out with the option of proportional reinsurance in the diffusion model : Højgaard B., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 87 KB

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