Minimal Solutions to Reflected Jump Processes with Reinsurance Application
Published:Dec 30, 2025 22:23
•1 min read
•ArXiv
Analysis
This paper extends existing work on reflected processes to include jump processes, providing a unique minimal solution and applying the model to analyze the ruin time of interconnected insurance firms. The application to reinsurance is a key contribution, offering a practical use case for the theoretical results.
Key Takeaways
Reference
“The paper shows that there exists a unique minimal strong solution to the given particle system up until a certain maximal stopping time, which is stated explicitly in terms of the dual formulation of a linear programming problem.”