Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition (Q2076416)
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scientific article; zbMATH DE number 7475182
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition |
scientific article; zbMATH DE number 7475182 |
Statements
Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition (English)
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16 February 2022
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proportional reinsurance
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compound Poisson process
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mean reverting process
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stochastic control
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variance reinsurance premiumn
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net profit condition
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