Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Year of publication: |
2021
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Authors: | Eisenberg, Julia ; Fabrykowski, Lukas ; Schmeck, Maren Diane |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 9.2021, 4, Art.-No. 73, p. 1-25
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Subject: | boundary value problem | Brownian motion | HJB equation | Markov chain | optimal control | ordinary differential equations | regime-switching | reinsurance | Theorie | Theory | Rückversicherung | Reinsurance | Markov-Kette | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks9040073 [DOI] hdl:10419/258161 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
- More ...
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
- More ...