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- W2910602298 abstract "This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg model. We assume the dynamic VaR constraints for proportional reinsurance. We obtain the closed form expression of the optimal reinsurance strategy and corresponding survival probability under proportional reinsurance." @default.
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- W2910602298 date "2019-01-08" @default.
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- W2910602298 title "Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint" @default.
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- W2910602298 doi "https://doi.org/10.1155/2019/6750892" @default.
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