Egami, Masahiko; Young, Virginia R. - In: Stochastic Processes and their Applications 119 (2009) 3, pp. 1015-1034
We consider an optimal reinsurance strategy in which the insurance company (1) monitors the dynamics of its surplus process, (2) optimally chooses a time to begin negotiating with a reinsurer to buy quota-share, or proportional, reinsurance, which introduces an implementation delay (denoted by...