Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
type: Item
instance of: scholarly article
title: Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
zbMATH Open document ID: 1499.90094
author: Yin Li
author: Xuerong Mao
author: Jian Tao
author: Ya-Zhi Song
published in: Journal of Industrial and Management Optimization
publication date: 2022-02-16T00:00:00Z
Mathematics Subject Classification ID: 90B50
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7475182
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: compound Poisson process
zbMATH Keywords: mean reverting process
zbMATH Keywords: stochastic control
zbMATH Keywords: variance reinsurance premiumn
zbMATH Keywords: net profit condition
MaRDI profile type: Publication
full work available at URL: jimo.2020143
OpenAlex ID: W3082146839
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DOI: 10.3934/JIMO.2020143
description: scientific article; zbMATH DE number 7475182