Optimal risk control and dividend distribution policies for a diffusion model with terminal value
نویسندگان
چکیده
منابع مشابه
Optimal risk control and dividend distribution policies for a diffusion model with terminal value
In this paper we investigate the optimal risk control and dividend distribution problem for a diffusion model with a terminal value. Usually the insurer cedes risk by means of a reinsurance contract, and pays dividends out dynamically from the surplus. Consider that the insurer is trying to balance risk control and dividend payout in terms of reinsurance and dividend distribution policies. Then...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2012
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2011.12.041