Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
Year of publication: |
2023
|
---|---|
Authors: | Liu, Wenyue ; Cadenillas, Abel |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 109.2023, p. 69-93
|
Subject: | Continuous-time stochastic control | Optimal insurance contract | Optimal risk sharing | Persistent actions | Shot-noise Cox process |
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