2023
DOI: 10.1016/j.insmatheco.2023.01.002
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Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions

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Cited by 3 publications
(1 citation statement)
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“…Stochastic control problems for such compound shot-noise Cox processes have, however, to the best of our knowledge not been addressed in the respective literature, with the notable recent exception of Liu & Cadenillas [21], who study a problem of optimal premiums, retention and prevention strategies which maximize expected utility of the insurer and policyholders in a certain way.…”
Section: (Communicated By Erhan Bayraktar)mentioning
confidence: 99%
“…Stochastic control problems for such compound shot-noise Cox processes have, however, to the best of our knowledge not been addressed in the respective literature, with the notable recent exception of Liu & Cadenillas [21], who study a problem of optimal premiums, retention and prevention strategies which maximize expected utility of the insurer and policyholders in a certain way.…”
Section: (Communicated By Erhan Bayraktar)mentioning
confidence: 99%