Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2024-03-01 DOI:10.1080/15326349.2024.2321195

Bo Yang, Ruili Song, Dingjun Yao, Gongpin Cheng

引用次数: 0

Abstract

This article focuses on the classic optimal dividend and reinsurance problems. Different from the existing literature, it assumes that the insurance company has two lines of business with a common ...

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具有共同冲击依赖性的风险模型的最优分红和比例再保险策略

本文主要研究经典的最优分红和再保险问题。与现有文献不同的是，本文假定保险公司有两条业务线，且有一个共同的 "再保险"。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.