Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - In: Risks : open access journal 9 (2021) 4, pp. 1-25
In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...
