Optimal dividend and reinsurance in the presence of two reinsurers
نویسندگان
چکیده
منابع مشابه
Optimal dividend and reinsurance in the presence of two reinsurers
In this paper, the optimal dividend (subject to transaction costs) and reinsurance (with two reinsurers) problem is studied in the limit diffusion setting. It is assumed that transaction costs and taxes are required when dividends occur, and that the premiums charged by two reinsurers are calculated according to the exponential premium principle with different parameters, which makes the stocha...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2016
ISSN: 0021-9002,1475-6072
DOI: 10.1017/jpr.2016.20