Optimal control of risk exposure, reinsurance and investments for insurance portfolios
type: Item
instance of: scholarly article
title: Optimal control of risk exposure, reinsurance and investments for insurance portfolios
zbMATH Open document ID: 1052.62107
author: Christian Irgens
author: Jostein Paulsen
published in: Insurance Mathematics \& Economics
publication date: 2004-11-29T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2119628
zbMATH Keywords: diffusion perturbed risk process
zbMATH Keywords: Hamilton-Jacobi-Bellmann equation
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: excess of loss reinsurance
zbMATH Keywords: investment strategy
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2004.04.004
OpenAlex ID: W2090752464
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DOI: 10.1016/J.INSMATHECO.2004.04.004
description: scientific article; zbMATH DE number 2119628