scientific article; zbMATH DE number 6796088
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Publication:5371436
zbMATH Open1389.91053MaRDI QIDQ5371436
Publication date: 20 October 2017
Title of this publication is not available (Why is that?)
Itô formulainvestmentreinsurancemean-variance criterionlinear quadratic controlOrnstein-Uhlenbeck model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Portfolio theory (91G10)
Related Items (4)
Application of the Ornstein-Uhlenbeck process to the solution of the problem of optimization of the capital ofl insurance companies taking into account advertising, as well as Black's portfolio analysis ⋮ Optimal reinsurance/investment problems for general insurance models ⋮ Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process ⋮ Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions
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