Optimal dynamic reinsurance policies for large insurance portfolios

DOI10.1007/S007800200073zbMath1066.91052OpenAlexW2082046266MaRDI QIDQ1424707

Charlotte Markussen, Michael I. Taksar

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200073

zbMATH Keywords

stochastic controlstochastic differential equationsBlack-Scholes modelproportional reinsuranceinvestmentsruin probabilitiescontrolled stochastic processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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