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Optimal risk control for a large corporation in the presence of returns on investments |
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| Authors: | Bjarne Højgaard Michael Taksar |
| Institution: | Department of Mathematical Sciences, Aalborg University, Fredrik Bajers VEJ 7G, 9220 Aalborg ?st, Denmark, DK Department of Appl. Math. and Stat., SUNY – Stony Brook , New York, USA, US |
| Abstract: | |
| Keywords: | : Dividend pay-out proportional reinsurance diffusion models stochastic control theory HJB equation singular control |
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