Optimal investment and reinsurance under the gamma process

DOI10.1007/S11009-020-09795-WzbMath1480.91220OpenAlexW3028668816MaRDI QIDQ2241632

Bohan Li, Jun-Yi Guo

Publication date: 9 November 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09795-w

zbMATH Keywords

Hamilton-Jacobi-Bellman equationexcess-of-loss reinsurancegamma processproportional reinsuranceexponential utilityprobability of ruin

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Financial applications of other theories (91G80) Actuarial mathematics (91G05)

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