Optimal reinsurance and investment policies with the CEV stock market (Q517202)
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scientific article; zbMATH DE number 6696573
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance and investment policies with the CEV stock market |
scientific article; zbMATH DE number 6696573 |
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Optimal reinsurance and investment policies with the CEV stock market (English)
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23 March 2017
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proportional reinsurance
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CEV model
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stochastic control
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Hamilton-Jacobi-Bellman equation
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exponential utility
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