Optimal risk control and dividend distribution policies for a diffusion model with terminal value
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Publication:1931091
DOI10.1016/j.mcm.2011.12.041zbMath1255.91188MaRDI QIDQ1931091
Publication date: 24 January 2013
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.12.041
excess-of-loss reinsurance; terminal value; HJB equation; dividend; expected value principle; cheap reinsurance
91G80: Financial applications of other theories
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