Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth (Q1023113)
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scientific article; zbMATH DE number 5563946
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth |
scientific article; zbMATH DE number 5563946 |
Statements
Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth (English)
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10 June 2009
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conditional value-at-risk
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exponential utility
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Hamilton-Jacobi-Bellman equation
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proportional reinsurance
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transaction costs
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