Optimal proportional reinsurance policies in a dynamic setting

Scandinavian Actuarial Journal

Volumn 2001, Issue 1, 2001, Pages 55-68

  Schmidli, Hanspeter ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

Diffusion; Hamilton Jacobi Bellman equation; Optimal control; Proportional reinsurance; Stochastic ruin probability; Subexponential distribution

Indexed keywords

EID: 85011522740     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/034612301750077338     Document Type: Article

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