Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model
Unlike traditionally used reserves models, this paper focuses on a reserve process with dynamic income to study the reinsurance-investment problem for an insurer under Vasicek stochastic interest rate model. The insurer’s dynamic income is given by the remainder after a dynamic reward budget being s...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2016-01-01
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| Series: | Advances in Mathematical Physics |
| Online Access: | http://dx.doi.org/10.1155/2016/1967872 |
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