Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
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Publication:2004551
DOI10.1016/j.camwa.2019.07.023zbMath1448.91269OpenAlexW2966366507MaRDI QIDQ2004551
Lin Xu, Shaosheng Xu, Ding Jun Yao
Publication date: 7 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2019.07.023
Macroeconomic theory (monetary models, models of taxation) (91B64) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)
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