Optimisation of drawdowns by generalised reinsurance in the classical risk model

DOI10.1007/s10203-023-00402-4OpenAlexW4381570547MaRDI QIDQ6089415

Hanspeter Schmidli, Leonie Violetta Brinker

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/s10203-023-00402-4

zbMATH Keywords

Hamilton-Jacobi-Bellman equationclassical risk modeldrawdownsgeneral optimal reinsurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

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