Optimal proportional reinsurance with common shock dependence

DOI10.1016/j.insmatheco.2015.04.009zbMath1348.91191OpenAlexW2196240778MaRDI QIDQ495436

Zhibin Liang, Ming Zhou, Kam-Chuen Yuen

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/214577

zbMATH Keywords

Hamilton-Jacobi-Bellman equationBrownian motioncompound Poisson processproportional reinsuranceexponential utilitydependent risks

Mathematics Subject Classification ID

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