Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Year of publication: |
2021
|
---|---|
Authors: | Eisenberg, Julia ; Fabrykowski, Lukas ; Schmeck, Maren Diane |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 4, p. 1-25
|
Publisher: |
Basel : MDPI |
Subject: | boundary value problem | Brownian motion | HJB equation | Markov chain | optimal control | ordinary differential equations | regime-switching | reinsurance |
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Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
- More ...
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
-
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia, (2021)
- More ...