Optimal reinsurance and investment policies with the CEV stock market

DOI10.1007/S10255-016-0593-6zbMath1359.62457OpenAlexW2510129188MaRDI QIDQ517202

Qi-Cai Li, Meng-Di Gu

Publication date: 23 March 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0593-6

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlproportional reinsuranceCEV modelexponential utility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Optimal investment and reinsurance problem with jump-diffusion model

Cites Work

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