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Optimal dynamic reinsurance with dependent risks: variance premium principle - MaRDI portal

Optimal dynamic reinsurance with dependent risks: variance premium principle (Q4576956)

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scientific article; zbMATH DE number 6901742
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English
Optimal dynamic reinsurance with dependent risks: variance premium principle
scientific article; zbMATH DE number 6901742

    Statements

    title
    Optimal dynamic reinsurance with dependent risks: variance premium principle (English)
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    author
    Zhibin Liang
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    Kam-Chuen Yuen
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    publication date
    11 July 2018
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    zbMATH Keywords
    Brownian motion
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    common shock
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    compound Poisson process
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    diffusion process
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    exponential utility
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    Hamilton-Jacobi-Bellman equation
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    proportional reinsurance
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    cites work
    Q3868650
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    Aspects of risk theory
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    60J70
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    93E20
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    zbMATH DE Number
    6901742
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    OpenAlex ID
    W2030862733
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