On reinsurance and investment for large insurance portfolios

Insurance: Mathematics and Economics

Volumn 42, Issue 1, 2008, Pages 434-444

  Luo, Shangzhen ^a   Taksar, Michael ^b   Tsoi, Allanus ^b  

^a UNIVERSITY OF NORTHERN IOWA   (United States)

^b UNIVERSITY OF MISSOURI   (United States)

Author keywords

Black Scholes model; Hamilton Jacobi Bellman equation; Proportional reinsurance; Ruin probability; Stochastic control

Indexed keywords

EID: 38649136227     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.04.002     Document Type: Article

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