Optimal reinsurance strategy under fixed cost and delay

DOI10.1016/J.SPA.2008.04.005zbMath1172.62035OpenAlexW2087253685MaRDI QIDQ1009679

Masahiko Egami, Virginia R. Young

Publication date: 2 April 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.04.005

zbMATH Keywords

optimal stoppingtransaction costimplementation delay

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stopping in statistics (62L15)

Related Items (5)

AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS ⋮ Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps ⋮ Optimal reinsurance with both proportional and fixed costs ⋮ Optimal dividend and risk control policies in the presence of a fixed transaction cost ⋮ Optimal investment and reinsurance policies in insurance markets under the effect of inside information

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