Optimal investment and excess of loss reinsurance with short-selling constraint

DOI10.1007/s10255-011-0089-3zbMath1302.62225OpenAlexW2162654080MaRDI QIDQ475706

Sheng Liu, Jing-Xiao Zhang

Publication date: 27 November 2014

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-011-0089-3

zbMATH Keywords

Hamilton-Jacobi-Bellman equationjump-diffusion processshort-selling constraintXL reinsurance

Mathematics Subject Classification ID

Related Items (1)

Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

Cites Work

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• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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