Optimal reinsurance: minimize the expected time to reach a goal
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Publication:4575374
DOI10.1080/03461238.2015.1015161zbMath1401.91171OpenAlexW2025300624MaRDI QIDQ4575374
Shangzhen Luo, Xudong Zeng, Ming-Ming Wang
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2015.1015161
stochastic controlHJB equationsproportional reinsurancediffusion approximation modelcheap/non-cheap reinsurance
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60)
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