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Optimal insurance strategies in a risk process with restrictions on policyholder risks
optimal choice problem risk-bearing function an insurer dynamic insurance model maximizing unit utility
2011/9/6
We consider the optimal choice problem by a risk-bearing function for an insurer to divide risks between him and his clients in a dynamic insurance model, the so-called Cramer-Lundberg risk process. I...
Numerical methods for optimal insurance demand under marked point processes shocks
Optimal insurance stochastic control duality dynamic programming principle
2010/10/21
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked p...
Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
Optimal insurance stochastic control duality optional decomposition
2010/10/21
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked poin...