Optimal reinsurance and investment problem with the minimum capital deposit constraint

DOI10.1080/03610926.2023.2179372OpenAlexW4327584699MaRDI QIDQ6096152

Linlin Tian, You Lv, Guo-Qing Li

Publication date: 11 September 2023

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

Full work available at URL: https://doi.org/10.1080/03610926.2023.2179372

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnon-cheap reinsuranceminimum capital deposit

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Classical solutions to PDEs (35A09)

Cites Work

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• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Optimal dynamic reinsurance with dependent risks: variance premium principle

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