A note on optimal insurance risk control with multiple reinsurers

DOI10.1016/j.cam.2016.12.034zbMath1357.93105OpenAlexW2567722291MaRDI QIDQ515748

Tak Kuen Siu, Hailiang Yang, Hui Meng

Publication date: 16 March 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/246118

zbMATH Keywords

Lagrangian functionmultiple reinsurersenlargement of reinsurance spaceoptimal reinsurance treatiesvariance premium principles

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20)

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Cites Work

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