Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (Q2015632)
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scientific article; zbMATH DE number 6306910
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| English | Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting |
scientific article; zbMATH DE number 6306910 |
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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (English)
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23 June 2014
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two-dimensional compound Poisson process
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common shock model
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two-dimensional Brownian motion
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martingale central limit theorem
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two-dimensional diffusion approximation
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HJB equation
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ruin probability
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excess-of-loss reinsurance
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