Company Value with Ruin Constraint in Lundberg Models
In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models. The policy improvement method works also in continuous mode...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-07-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/6/3/73 |