Optimal reinsurance strategy under fixed cost and delay
DOI10.1016/J.SPA.2008.04.005zbMath1172.62035OpenAlexW2087253685MaRDI QIDQ1009679
Masahiko Egami, Virginia R. Young
Publication date: 2 April 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2008.04.005
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stopping in statistics (62L15)
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Cites Work
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