Optimal multidimensional reinsurance policies under a common shock dependency structure

Author:

Azarbad M.,Parham G. A.ORCID,Alavi S. M. R.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference17 articles.

1. Azcue P, Muler N (2014) Stochastic optimization in insurance: a dynamic programming approach. Springer, New York

2. Beveridge CJ, Dickson DCM, Wu X (2007) Optimal dividends under reinsurance. Centre for Actuarial Studies, Department of Economics, University of Melbourne, Melbourne

3. Cani A (2018) Reinsurance and dividend problems in insurance. PhD thesis, Université de Lausanne, Faculté des hautes études commerciales

4. Cani A, Thonhauser S (2017) An optimal reinsurance problem in the Cramér–Lundberg model. Math Methods Oper Res 85(2):179–205

5. Eisenberg J, Schmidli H (2011) Optimal control of capital injections by reinsurance with a constant rate of interest. J Appl Probab 48(3):733–748

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