Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model
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Publication:2421399
DOI10.1016/j.insmatheco.2019.04.002zbMath1410.91282arXiv1809.00990MaRDI QIDQ2421399
Stefan Thonhauser, Michael Preischl
Publication date: 17 June 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.00990
policy iteration; optimal stochastic control; Cramér-Lundberg model; Gerber-Shiu functions; dynamic reinsurance
93E20: Optimal stochastic control
60K10: Applications of renewal theory (reliability, demand theory, etc.)