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蹇玲玲 《数学物理学报(B辑英文版)》2023,(3):1347-1364
In this paper, we consider the optimal risk sharing problem between two parties in the insurance business: the insurer and the insured. The risk is allocated between the insurer and the insured by setting a deductible and coverage in the insurance contract. We obtain the optimal deductible and coverage by considering the expected product of the two parties’ utilities of terminal wealth according to stochastic optimal control theory. An equilibrium policy is also derived for when there are both a... 相似文献
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