Optimal proportional reinsurance with common shock dependence (Q495436)
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scientific article; zbMATH DE number 6481757
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal proportional reinsurance with common shock dependence |
scientific article; zbMATH DE number 6481757 |
Statements
Optimal proportional reinsurance with common shock dependence (English)
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14 September 2015
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dependent risks
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Hamilton-Jacobi-Bellman equation
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compound Poisson process
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Brownian motion
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exponential utility
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proportional reinsurance
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0.931546151638031
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0.9095807671546936
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0.905676245689392
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0.9035221338272096
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0.876606822013855
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