Optimal dynamic reinsurance strategies in multidimensional portfolio

DOI10.1080/07362994.2020.1774390zbMath1460.91232arXiv2001.01646OpenAlexW3043746144MaRDI QIDQ4964407

Mohammad Zokaei, Khaled Masoumifard

Publication date: 2 March 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.01646

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionoptimal reinsuranceCramer-Lundberg processdynamic programing principle

Mathematics Subject Classification ID

Dynamic programming (90C39) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05)

Related Items (1)

Optimal multidimensional reinsurance policies under a common shock dependency structure

Cites Work

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