Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
From MaRDI portal
Publication:2155853
DOI10.1016/j.insmatheco.2022.04.011zbMath1492.91276arXiv2105.07524OpenAlexW3163632720MaRDI QIDQ2155853
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
Publication date: 15 July 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.07524
Hamilton-Jacobi-Bellman equationoptimal investmentoptimal proportional reinsuranceenvironmental factorscommon shock dependence
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