Optimal reinsurance and dividend distribution policies in the cramér-lundberg model

Mathematical Finance

Volumn 15, Issue 2, 2005, Pages 261-308

  Azcue, Pablo ^a   Muler, Nora ^a  

^a UNIVERSIDAD TORCUATO DI TELLA   (Argentina)

Author keywords

Cram r Lundberg process; Dividend payouts; Dynamic programming principle; Hamilton Jacobi Bellman equation; Insurance; Reinsurance; Risk control; Viscosity solution

Indexed keywords

EID: 17444414628     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2005.00220.x     Document Type: Article

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