Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
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References listed on IDEAS
- Hojgaard, Bjarne & Taksar, Michael, 1998. "Optimal proportional reinsurance policies for diffusion models with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 41-51, May.
- Nicole El Karoui & Monique Jeanblanc-Picqué, 1998. "Optimization of consumption with labor income," Finance and Stochastics, Springer, vol. 2(4), pages 409-440.
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- Mohamed Mnif, 2010. "Numerical methods for optimal insurance demand under marked point processes shocks," Papers 1009.0635, arXiv.org.
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