The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

DOI10.1093/imaman/dpu021zbMath1433.91137OpenAlexW2068441370MaRDI QIDQ5382690

Danping Li, Hui Zhao, Xi-Min Rong

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpu021

zbMATH Keywords

proportional reinsuranceconstant elasticity of variance (CEV) modelexponential utility maximizationoptimal investment for a general insurance companyweighted sum of wealth

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

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