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Barrier present value maximization for a diffusion model of insurance surplus - MaRDI portal

Barrier present value maximization for a diffusion model of insurance surplus (Q4575383)

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scientific article; zbMATH DE number 6903570
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English
Barrier present value maximization for a diffusion model of insurance surplus
scientific article; zbMATH DE number 6903570

    Statements

    title
    Barrier present value maximization for a diffusion model of insurance surplus (English)
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    author
    Shangzhen Luo
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    Ming-Ming Wang
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    publication date
    13 July 2018
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    zbMATH Keywords
    barrier present value
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    reinsurance
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    investment
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    HJB equation
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    diffusion approximation
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    cites work
    Q3150773
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    Q3910361
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    Q5434181
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    Q4255599
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    93E20
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    60J70
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    zbMATH DE Number
    6903570
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    OpenAlex ID
    W1979033281
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