Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
DOI10.1016/J.INSMATHECO.2013.09.008zbMATH Open1290.91075OpenAlexW2068039820MaRDI QIDQ2015632FDOQ2015632
Authors: Lihua Bai, Jun Cai, Ming Zhou
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.008
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HJB equationruin probabilityexcess-of-loss reinsurancemartingale central limit theoremcommon shock modeltwo-dimensional Brownian motiontwo-dimensional compound Poisson processtwo-dimensional diffusion approximation
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