On proportional reinsurance with a linear transaction rate

DOI10.3233/RDA-2011-0034zbMath1409.91137OpenAlexW1814493478MaRDI QIDQ3119601

Shangzhen Luo

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2011-0034

zbMATH Keywords

HJB equationruin probabilityproportional reinsuranceexponential utilitylinear transaction rate

Mathematics Subject Classification ID

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