Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
type: Item
instance of: scholarly article
title: Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
zbMATH Open document ID: 1162.91446
author: Xinli Zhang
author: Kecun Zhang
author: Xing-jiang Yu
published in: Insurance Mathematics \& Economics
publication date: 2009-06-10T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5563946
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: exponential utility
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: transaction costs
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2009.01.004
OpenAlex ID: W2082447955
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DOI: 10.1016/J.INSMATHECO.2009.01.004
description: scientific article; zbMATH DE number 5563946