Optimisation of drawdowns by generalised reinsurance in the classical risk model
Year of publication: |
2023
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Authors: | Brinker, Leonie Violetta ; Schmidli, Hanspeter |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 46.2023, 2, p. 635-665
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Subject: | Classical risk model | Drawdowns | General optimal reinsurance | Hamilton-Jacobi-Bellman equation | Theorie | Theory | Risikomodell | Risk model | Rückversicherung | Reinsurance | Risikomanagement | Risk management |
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