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Optimal excess-of-loss reinsurance under borrowing constraints - MaRDI portal

Optimal excess-of-loss reinsurance under borrowing constraints

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Publication:3087415

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DOI10.3233/RDA-2011-0029zbMath1229.91163MaRDI QIDQ3087415

Shangzhen Luo, Michael I. Taksar

Publication date: 16 August 2011

Published in: Risk and Decision Analysis (Search for Journal in Brave)

zbMATH Keywords

stochastic control HJB equation ruin probability borrowing constraints excess-of-loss-reinsurance

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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