Optimal investment for insurers
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References listed on IDEAS
- Hojgaard, Bjarne & Taksar, Michael, 1998. "Optimal proportional reinsurance policies for diffusion models with transaction costs," Insurance: Mathematics and Economics, Elsevier, pages 41-51.
- Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
- Hipp, Christian & Taksar, Michael, 2000. "Stochastic control for optimal new business," Insurance: Mathematics and Economics, Elsevier, pages 185-192.
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