Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Lihua Bai; Jun Cai; Ming Zhou
| Year of publication: |
2013
|
|---|---|
| Authors: | Bai, Lihua ; Cai, Jun ; Zhou, Ming |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 664-670
|
| Subject: | Two-dimensional compound Poisson process | Common shock model | Two-dimensional Brownian motion | Martingale central limit theorem | Two-dimensional diffusion approximation | HJB equation | Ruin probability | Excess-of-loss reinsurance | Theorie | Theory | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Risikomodell | Risk model | Martingal | Martingale | Risiko | Risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010227909