Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer

DOI10.3934/JIMO.2022020OpenAlexW4212783020MaRDI QIDQ2097469

Pengxu Xie, Lihua Bai, Hua-Yue Zhang

Publication date: 14 November 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.2022020

zbMATH Keywords

Hamilton-Jacobi-Bellman equationOrnstein-Uhlenbeck processreinsurancepairs tradingexponential utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Cites Work

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• Pairs trading
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