Optimal excess-of-loss reinsurance for stochastic factor risk models

HIGHLIGHTS

• who: Hamilton-Jacobi-Bellman equation et al. from the Current address: Viale Pindaro, Pescara, Italy have published the article: Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models, in the Journal: Risks 2019, 7, 48 of /2019/
• what: The authors extend further the risk model, because the claim size distribution is influenced by the stochastic factor, which is described by a diffusion-type stochastic differential equation (SDE). Now the authors investigate the special case of the expected value principle introduced in Example 1. The authors show some numerical results, mostly based on Propositions 8 . . .
  

   

  

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