Numerical methods for optimal insurance demand under marked point processes shocks
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- 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.
- Mohamed Mnif, 2010. "Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach," Papers 1008.5058, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2010-09-11 (Computational Economics)
- NEP-ORE-2010-09-11 (Operations Research)
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