Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
Year of publication: |
2022
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Authors: | Glauner, Alexander |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 4, p. 279-306
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Subject: | cost of capital | Optimal reinsurance | risk measure | risk-sensitive Markov decision process | Theorie | Theory | Kapitalkosten | Cost of capital | Rückversicherung | Reinsurance | Markov-Kette | Markov chain | Risikomaß | Risk measure | Risiko | Risk |
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