Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate

DOI10.1155/2020/4051969zbMath1448.91268OpenAlexW3048609837MaRDI QIDQ2198915

Publication date: 15 September 2020

Published in: Journal of Function Spaces (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/4051969

zbMATH Keywords

proportional reinsurance dividend payments expected discounted utility

Mathematics Subject Classification ID

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

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