Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model (Q2252739)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model |
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Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model (English)
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23 July 2014
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proportional reinsurance
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optimal investment
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product of exponential utilities
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constant elasticity of variance (CEV) model
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Hamilton-Jacobi-Bellman (HJB) equation
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