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zbMath1150.91421MaRDI QIDQ3505468

A. V. Bayev, B. V. Bondarev

Publication date: 18 June 2008

Full work available at URL: http://www.ams.org/tpms/2007-74-00/S0094-9000-07-00693-X/home.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Poisson measure ruin probability stochastic integral investor's portfolio

Mathematics Subject Classification ID

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Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing ⋮ Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process ⋮ Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company ⋮ Some problems for Clark's model. II. A solution for Merton's portfolio problem ⋮ Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition

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