Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation.
Søren AsmussenBjarne HøjgaardMichael TaksarPublished in: Finance Stochastics (2000)
Keyphrases
- expected loss
- control policy
- control policies
- risk management
- optimal control
- control method
- control system
- dynamic programming
- optimal policy
- optimal solution
- control strategy
- risk assessment
- demand distributions
- neural network
- risk neutral
- average cost
- control strategies
- closed form
- random variables
- decision makers
- worst case
- probability distribution
- learning algorithm