Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models
نویسندگان
چکیده
منابع مشابه
Optimal Excess-of-loss Reinsurance and Investment Problem for an Insurer with Default Risk under a Stochastic Volatility Model
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic volatility and a defaultable corporate bond. We discuss the optimal investment strategy into two subproblems: a pre-default case and a post-default case. We...
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ژورنال
عنوان ژورنال: Risks
سال: 2019
ISSN: 2227-9091
DOI: 10.3390/risks7020048