Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane: Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. In: Risks. Jg.9 H. 4. 2021

Inhalt

The Model
Constant Strategies
Recursion

Step 0
Step 1
Step 2
Step 2m+1
Step 2m+2

The Value Function
Numerical Illustrations

Illustration of the Recursive Procedure
Solving the HJB Directly

Conclusions

Proofs of Step 1
Proofs of Step 2
Proofs of Step 2m+1

References

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