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math.OC2011
Band Control of Mutual Proportional Reinsurance
John Liu, Michael Taksar, Jiguang Yuan
In this paper, we investigate the optimization of mutual proportional reinsurance --- a mutual reserve system that is intended for the collective reinsurance needs of homogeneous m…
math.OC2011
Minimal Cost of a Brownian Risk without Ruin
Shangzhen Luo, Michael Taksar
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk…