Optimization problems of excess-of-loss reinsurance and investment under the CEV model

DOI10.1155/2013/383265zbMath1263.91024OpenAlexW2022190633WikidataQ58995194 ScholiaQ58995194MaRDI QIDQ1952495

Qi-Cai Li, Meng-Di Gu

Publication date: 31 May 2013

Published in: ISRN Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/383265

zbMATH Keywords

stock marketvalue functionoptimization problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk

Cites Work

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