Optimal control of investment, premium and deductible for a non-life insurance company
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Publication:2665865
DOI10.1016/j.insmatheco.2021.07.005zbMath1475.91293OpenAlexW3161004238MaRDI QIDQ2665865
Bent Jesper Christensen, Juan Carlos Parra-Alvarez, Rafael Serrano
Publication date: 19 November 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.07.005
Hamilton-Jacobi-Bellman equationstochastic optimal controladverse selectionjump-diffusionoptimal investment strategypremium controldeductible control
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