Zeng, Xudong; Luo, Shangzhen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 671-677
We model reinsurance as a stochastic cooperation game in a continuous-time framework. Employing stochastic control theory and dynamic programming techniques, we study Pareto-optimal solutions to the game and derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation. After analyzing the...