Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint (Q2987293)
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scientific article; zbMATH DE number 6719659
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| English | Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint |
scientific article; zbMATH DE number 6719659 |
Statements
17 May 2017
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diffusion process
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dynamic VaR constraint
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reinsurance
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barrier dividend strategy
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HJB equation
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Kuhn-Tucker condition
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0.8847180008888245
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0.8660872578620911
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0.8654782772064209
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0.8615908622741699
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0.8560411334037781
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