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We consider the optimal choice problem by a risk-bearing function for an insurer to divide risks between him and his clients in a dynamic insurance model, the so-called Cramer-Lundberg risk process. I...
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked p...
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked poin...

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