OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
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Publication:3108516
DOI10.1017/S144618111100068XzbMath1230.91077OpenAlexW2023017827MaRDI QIDQ3108516
Publication date: 4 January 2012
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s144618111100068x
investmentcompound Poisson processproportional reinsuranceexponential utilityHamilton-Jacobi-bellman equationjump diffusion risk model
Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
Related Items (7)
OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET ⋮ Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk ⋮ Optimal investment and reinsurance under the gamma process ⋮ Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods ⋮ Stochastic differential game formulation on the reinsurance and investment problem ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
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