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math.OC2024
A dynamic optimal reinsurance strategy with capital injections in the Cramer-Lundberg model
Zakaria Aljaberi, Asma Khedher, Mohamed Mnif
In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of…
q-fin.RM2024
Calibration of the rating transition model for high and low default portfolios
Jian He, Asma Khedher, Peter Spreij
In this paper we develop Maximum likelihood (ML) based algorithms to calibrate the model parameters in credit rating transition models. Since the credit rating transition models ar…