Optimal reinsurance and investment in danger‐zone and safe‐region

DOI10.1002/oca.2568zbMath1466.91261OpenAlexW2999097702WikidataQ126399164 ScholiaQ126399164MaRDI QIDQ4994758

Zhibin Liang, Xia Han

Publication date: 22 June 2021

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2568

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlinvestmentproportional reinsurancediffusion approximation model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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