Optimal proportional reinsurance with common shock dependence
Kam Chuen Yuen; Zhibin Liang; Ming Zhou
| Year of publication: |
2015
|
|---|---|
| Authors: | Yuen, Kam Chuen ; Liang, Zhibin ; Zhou, Ming |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 1-13
|
| Subject: | Dependent risks | Hamilton-Jacobi-Bellman equation | Compound Poisson process | Brownian motion | Exponential utility | Proportional reinsurance | Rückversicherung | Reinsurance | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risiko | Risk | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011396849