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The Optimal Strategy and Capital Threshold of Multi-period Proportional Reinsurance
portional reinsurance strategy and prove that the dynamic programming approach can be used to solve minimal ... Bellman equation in dynamic programming. In other words, one can use the dynamic programming approach ...- Authors: Ken Seng Tan, Zhongfei Li, Jianfa Cong
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments