Optimal proportional reinsurance with common shock dependence
Year of publication: |
2015
|
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Authors: | Yuen, Kam Chuen ; Liang, Zhibin ; Zhou, Ming |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 1-13
|
Subject: | Dependent risks | Hamilton-Jacobi-Bellman equation | Compound Poisson process | Brownian motion | Exponential utility | Proportional reinsurance | Theorie | Theory | Stochastischer Prozess | Stochastic process | Rückversicherung | Reinsurance |
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