Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
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Publication:5926469
DOI10.1007/s007800050075zbMath0958.91026OpenAlexW2056063163MaRDI QIDQ5926469
Michael I. Taksar, Soren Asmussen, Bjarne Højgaard
Publication date: 1 March 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050075
free boundary problemdiffusion approximationdividend distribution policyexcess-of-loss reinsuranceinsurance companyoptimal risk control
Applications of statistics to actuarial sciences and financial mathematics (62P05) Initial-boundary value problems for second-order parabolic equations (35K20) Optimal stochastic control (93E20) Diffusion processes (60J60)
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