Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
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Publication:2015632
DOI10.1016/j.insmatheco.2013.09.008zbMath1290.91075OpenAlexW2068039820MaRDI QIDQ2015632
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
excess-of-loss reinsuranceHJB equationruin probabilitymartingale central limit theoremcommon shock modeltwo-dimensional Brownian motiontwo-dimensional compound Poisson processtwo-dimensional diffusion approximation
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