Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility (Q545562)
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scientific article; zbMATH DE number 5911489
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| English | Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility |
scientific article; zbMATH DE number 5911489 |
Statements
Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility (English)
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22 June 2011
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expected utility
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diffusion approximation
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compound Poisson process
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Hamilton-Jacobi-Bellman equation
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quota-share reinsurance
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excess of loss reinsurance
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