Optimal proportional reinsurance model with transaction costs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s12190-008-0108-6.pdf
Reference11 articles.
1. Rui-cheng, Y., Kun-hui, L., Bing, X.: Optimal impulse and regular control strategies for proportional reinsurance problem. J. Comput. Appl. Math. 18, 145–158 (2005)
2. Taksar, M., Zhou, X.: Optimal risk and dividend control for a company with a debt liability. Insur. Math. Econ. 22, 105–122 (1998)
3. Paulsen, J., Gjessing, H.K.: Optimal choice of dividend barriers for a risk process with stochastic return on investments. Insur. Math. Econ. 20, 215–233 (1997)
4. Lefebvre, M.: Using a geometric Brownian motion to control a Brownian motion and vice versa. Stoch. Processes Appl. 69, 71–82 (1997)
5. Asmussen, S., Højaard, B., Taksar, M.: Optimal risk control and dividend distribution policies: example of excess-of-loss reinsurance for an insurance corporation. Finance Stoch. 4, 299–324 (2000)
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