Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
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Publication:6089414
DOI10.1007/s10203-023-00398-xzbMath1530.91517OpenAlexW4381592392MaRDI QIDQ6089414
Publication date: 17 November 2023
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-023-00398-x
Hamilton-Jacobi-Bellman equationexcess-of-loss reinsurancestochastic controlKarush-Kuhn-Tucker conditionsproportional reinsurance
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05)
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