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Investigations to the optimal derivative-based investment and proportional reinsurance strategies - MaRDI portal

Investigations to the optimal derivative-based investment and proportional reinsurance strategies

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Publication:6536937

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DOI10.3934/jimo.2023143MaRDI QIDQ6536937

Jun Feng, Liting Zhou, Shaoyong Lai

Publication date: 14 May 2024

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

zbMATH Keywords

jump risk investment and reinsurance derivative trading volatility risk certainty-equivalence principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Portfolio theory (91G10) Risk models (general) (91B05)

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