Nonlinear impulse capital injections problem with reinsurance control

DOI10.1360/N012013-00178zbMath1499.62388MaRDI QIDQ5063662

Ming Zhou, Hui Meng, Dongmei Guo

Publication date: 21 March 2022

Published in: Scientia Sinica Mathematica (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationreinsurance strategyvariance premium principlenonlinear cost functionimpulse capital injection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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