Optimal dynamic reinsurance with dependent risks: variance premium principle (Q4576956)
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scientific article; zbMATH DE number 6901742
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal dynamic reinsurance with dependent risks: variance premium principle |
scientific article; zbMATH DE number 6901742 |
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Optimal dynamic reinsurance with dependent risks: variance premium principle (English)
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11 July 2018
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Brownian motion
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common shock
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compound Poisson process
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diffusion process
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exponential utility
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Hamilton-Jacobi-Bellman equation
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proportional reinsurance
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