Optimal excess-of-loss reinsurance and investment with stochastic factor process

Kong, XY; Lu, YH

Lu, YH (corresponding author), Qufu Normal Univ, Sch Stat, Qufu 273165, Shandong, Peoples R China.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, ; ():

Abstract

In this paper, we study the problem of excess-of-loss reinsurance and investment for an insurer who wishes to maximize the expected exponential utilit......

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