Optimal dynamic reinsurance policies for large insurance portfolios

DOI10.1007/s007800200073zbMath1066.91052OpenAlexW2082046266MaRDI QIDQ1424707

Charlotte Markussen, Michael I. Taksar

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200073

zbMATH Keywords

stochastic controlstochastic differential equationsBlack-Scholes modelproportional reinsuranceinvestmentsruin probabilitiescontrolled stochastic processes

Mathematics Subject Classification ID

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