Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock

DOI10.1360/SCM-2017-0371zbMath1499.91105OpenAlexW3137741502MaRDI QIDQ5064289

Zhibin Liang, Caibin Zhang, Kam-Chuen Yuen

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/scm-2017-0371

zbMATH Keywords

mean-variancereinsurance and investmentdependent riskextended Hamilton-Jacobi-Bellman equationMarkovian regime-switching

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10) Actuarial mathematics (91G05)

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