Optimal Reinsurance Problem under Fixed Cost and Exponential Preferences
We investigate an optimal reinsurance problem for an insurance company taking into account subscription costs: that is, a constant fixed cost is paid when the reinsurance contract is signed. Differently from the classical reinsurance problem, where the insurer has to choose an optimal retention leve...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/4/295 |