Optimal proportional reinsurance policies for diffusion models with transaction costs

Insurance: Mathematics and Economics

Volumn 22, Issue 1, 1998, Pages 41-51

  Højgaard, Bjarne ^a   Taksar, Michael ^b  

^a AALBORG UNIVERSITY   (Denmark)

^b STONY BROOK UNIVERSITY   (United States)

Author keywords

Diffusion models; HJB equation; Stochastic control

Indexed keywords

EID: 0032523516     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00007-9     Document Type: Article

References (14)

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