Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - 2021
In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total … a Brownian motion with drift, and the reinsurance price is modelled by a continuoustime Markov chain with two states …. The presence of regime-switching complicates substantially the optimal reinsurance problem, as the surplus …