Risk minimization for an insurer with investment and reinsurance via g-expectation

DOI10.1080/03610926.2018.1504077OpenAlexW2917585615MaRDI QIDQ5077872

Wenyuan Wang, Fenge Chen, Xing-Chun Peng

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1504077

zbMATH Keywords

Malliavin calculus\(g\)-expectationinvestmentreinsurancestochastic maximum principles

Mathematics Subject Classification ID

Statistics (62-XX) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Financial and insurance mathematics (aspects of mathematics education) (97M30)

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