Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

DOI10.1016/j.insmatheco.2013.09.008zbMath1290.91075OpenAlexW2068039820MaRDI QIDQ2015632

Ming Zhou, Lihua Bai, Jun Cai

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.008

zbMATH Keywords

excess-of-loss reinsuranceHJB equationruin probabilitymartingale central limit theoremcommon shock modeltwo-dimensional Brownian motiontwo-dimensional compound Poisson processtwo-dimensional diffusion approximation

Mathematics Subject Classification ID

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