Author： Schmidli H.
Publisher： Taylor & Francis Ltd
ISSN： 0346-1238
Source： Scandinavian Actuarial Journal, Vol.2001, Iss.1, 2001-03, pp. : 55-68
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Abstract
We consider dynamic proportional reinsurance strategies and derive the optimal strategies in a diffusion setup and a classical risk model. Optimal is meant in the sense of minimizing the ruin probability. Two basic examples are discussed.
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