Optimal excess-of-loss reinsurance and investment polices under the CEV model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-014-1596-4.pdf
Reference30 articles.
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3. Bai, L., & Guo, J. (2010). Optimal dynamic excess-of -loss reinsurance and multidimensional portfolio selection. Science China-Mathematics, 53(7), 1787–1804.
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5. Browne, S. (1995). Optimal investment policies for a firm with random risk process: Exponential utility and minimizing the probability of ruin. Mathematics of Operations Research, 20(4), 937–958.
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