Optimal combinational quota-share and excess-of-loss reinsurance policies in a dynamic setting

Applied Stochastic Models in Business and Industry

Volumn 23, Issue 1, 2007, Pages 63-71

  Zhang, Xin ^a   Zhou, Ming ^b   Guo, Junyi ^a  

^a NANKAI UNIVERSITY   (China)

^b CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS   (China)

Author keywords

Combinational reinsurance strategy; Excess of loss; Hamilton Jacobi Bellman equation; Minimal probability of ruin; Quota share

Indexed keywords

APPROXIMATION THEORY; INSURANCE; OPTIMIZATION; PROBABILITY; RISK MANAGEMENT;

COMBINATIONAL REINSURANCE STRATEGY; EXCESS OF LOSS; HAMILTON JACOBI BELLMAN EQUATIONS; MINIMAL PROBABILITY OF RUINS; QUOTA SHARE;

BROWNIAN MOVEMENT;

EID: 33847182033     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.637     Document Type: Article

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