Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
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Publication:902317
DOI10.1016/S0252-9602(15)60002-9zbMath1340.91070MaRDI QIDQ902317
Yingchun Deng, Ya Huang, Jie-Ming Zhou, Xiang-Qun Yang
Publication date: 15 January 2016
Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationreinsuranceconstant elasticity of varianceexponential utilityjump-diffusion process
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)
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