Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
DOI10.3934/jimo.2020143zbMath1499.90094OpenAlexW3082146839MaRDI QIDQ2076416
Jian Tao, Yin Li, Xuerong Mao, Ya-Zhi Song
Publication date: 16 February 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020143
stochastic controlcompound Poisson processproportional reinsurancenet profit conditionmean reverting processvariance reinsurance premiumn
Applications of statistics to actuarial sciences and financial mathematics (62P05) Management decision making, including multiple objectives (90B50) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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