Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
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DOI: 10.1007/s10203-023-00398-x
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References listed on IDEAS
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Keywords
Proportional reinsurance; Excess-of-loss reinsurance; Hamilton–Jacobi–Bellman equation; Stochastic control; Karush–Kuhn–Tucker conditions;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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