Optimal investment and reinsurance of insurers with lognormal stochastic factor model

DOI10.3934/mcrf.2021033zbMath1486.91074OpenAlexW3174041796MaRDI QIDQ2119453

Hiroaki Hata, Li-Hsien Sun

Publication date: 29 March 2022

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2021033

zbMATH Keywords

HJB equationrisk-sensitive controlasset managementlognormal interest rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

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