Optimal investment problem for an insurer and a reinsurer
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Publication:256739
DOI10.1007/s11424-015-3065-9zbMath1333.91033OpenAlexW2398149047MaRDI QIDQ256739
Hui Zhao, Danping Li, Xi-Min Rong
Publication date: 10 March 2016
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-015-3065-9
Hamilton-Jacobi-Bellman equationruin probabilityutility maximizationproportional reinsuranceoptimal reinsurance and investment strategies
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Related Items (3)
Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
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