Optimal claim-dependent proportional reinsurance under a self-exciting claim model

DOI10.1007/s10957-024-02429-yzbMath1546.91228MaRDI QIDQ6582432

Fan Wu, Yang Shen, Kai Ding, Xin Zhang

Publication date: 2 August 2024

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

verification theoremdynamic programming principleoptimal reinsurance problemclaim-dependent proportional reinsuranceself-exciting claim

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Actuarial mathematics (91G05)

Cites Work

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