An optimal reinsurance management and dividend payout strategy when the insurer’s reserve is an Ito–Levy process
We solve the problem of an insurer who decides to optimally allocate a proportion (1—a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums) and who also has to optimally pay dividends c(t) at any time t to shareholders. If the insurer’s reserve x(t) is a given...
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| Главный автор: | |
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| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
Taylor & Francis Group
2019-01-01
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| Серии: | Cogent Economics & Finance |
| Предметы: | |
| Online-ссылка: | http://dx.doi.org/10.1080/23322039.2019.1698939 |
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