Optimal reinsurance and dividend distribution policies in the cramér-lundberg model

We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cum...

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Detalles Bibliográficos
Publicado: 2005
Materias:
Cramér-Lundberg process
Dividend payouts
Dynamic programming principle
Hamilton-Jacobi-Bellman equation
Insurance
Reinsurance
Risk control
Viscosity solution
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09601627_v15_n2_p261_Azcue
http://hdl.handle.net/20.500.12110/paper_09601627_v15_n2_p261_Azcue
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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