Optimal dividend and proportional reinsurance strategy under standard deviation premium principle

DOI10.1007/s40840-021-01220-wzbMath1484.91394OpenAlexW4206611594MaRDI QIDQ2117578

Na Li, Wei Wang

Publication date: 21 March 2022

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-021-01220-w

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal strategystochastic controldividend optimizationproportion reinsurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (1)

On the discounted penalty function in a perturbed Erlang renewal risk model with dependence

Cites Work

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