Optimal Proportional Reinsurance Policies For Levy Markets With Costs Zororo Stanelake Makumbe and Eriyoti G. Chikodza

From the point of view of the first insurer, we determine the ideal proportion of an insurance policy, in a Levy market, to be re insured and the expected value attained using Stochastic control (Dynamic programming). A Levy process is used to model the reserves of the insurer given that a re insurance policy has been implemented as a means of risk transfer. For completeness, the results are analytically and graphically compared with those of a diffusion model with the aid of Matlab. Financial mathematicians, actuaries, and insurers would find this book useful. A background in stochastic differential equations will make understanding easier. Это и многое другое вы найдете в книге Optimal Proportional Reinsurance Policies For Levy Markets With Costs (Zororo Stanelake Makumbe and Eriyoti G. Chikodza)