Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks
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DOI: 10.1080/14697688.2025.2488450
Abstract: We investigate the optimal reinsurance problem in a risk model with jump clustering features. This modeling framework is inspired by the concept initially proposed in Dassios and Zhao (2011), combining Hawkes and Cox processes with… read more here.
Keywords: optimal reinsurance; reinsurance dynamic; self exciting; model ... See more keywords