Presentation: Control for the Lundberg model, with emphasis on optimal reinsurance
Workshop: Optimization and Optimal Control
Time: Mon, October 20, 2008, 09:30-10:20
Speaker: Christian Hipp
Abstract
We address optimal dynamic control of non-proportional reinsurance (excess of loss and limited excess of loss) for an insurance risk modelled by a Lundberg process, as well as optimal control of investment without leverage. Theory and numerical results (simplification of complete search problems) will be presented.
Presentation slides (pdf, 879 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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