Optimal investment problem for an insurer and a reinsurer
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11424-015-3065-9.pdf
Reference23 articles.
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2. Schmidli H, Optimal proportional reinsurance policies in a dynamic setting, Scandinavian Actuarial Journal, 2001, 2001(1): 55–4.
3. Promislow S D and Young V R, Minimizing the probability of ruin when claims follow Brownian motion with drift, North American Actuarial Journal, 2005, 9(3): 110–4.
4. Li J and Wu R, Upper bound for finite-time ruin probability in a Markov-modulated market, Journal of Systems Science and Complexity, 2011, 24(2): 308–4.
5. Liang Z and Guo J, Optimal investment and proportional reinsurance in the Sparre Andersen model, Journal of Systems Science and Complexity, 2012, 25(5): 926–4.
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