Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence (Q5053897)
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scientific article; zbMATH DE number 7624376
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence |
scientific article; zbMATH DE number 7624376 |
Statements
Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence (English)
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28 November 2022
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proportional reinsurance
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common shock dependence
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stochastic control
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\(\epsilon\)-optimal (suboptimal) strategy
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Hamilton-Jacobi-Bellman equation
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