A note on optimal expected utility of dividend payments with proportional reinsurance
Xiaoqing Liang and Zbigniew Palmowski
| Year of publication: |
February-June 2018
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| Authors: | Liang, Xiaoqing ; Palmowski, Zbigniew |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2018, 4, p. 275-293
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| Subject: | Stochastic optimal control | Hamilton-Jacobi-Bellman equation | optimal dividend | proportional reinsurance | Rückversicherung | Reinsurance | Dividende | Dividend | Erwartungsnutzen | Expected utility | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Risikomodell | Risk model | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2017.1343748 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011881090