Optimal proportional reinsurance policies for diffusion models with transaction costs

DOI10.1016/S0167-6687(98)00007-9zbMath1093.91518WikidataQ127293989 ScholiaQ127293989MaRDI QIDQ1265915

Publication date: 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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