Optimal investment and proportional reinsurance in the Sparre Andersen model

DOI10.1007/s11424-012-0058-9zbMath1269.93135OpenAlexW2015504096MaRDI QIDQ2391925

Zhibin Liang, Jun-Yi Guo

Publication date: 5 August 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-0058-9

zbMATH Keywords

optimal strategyproportional reinsuranceSparre Andersen modelmaximal adjustment coefficient

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Optimal investment problem for an insurer and a reinsurer

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