Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer
type: Item
instance of: scholarly article
title: Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer
author: Pengxu Xie
author: Lihua Bai
author: Huayue Zhang
published in: Journal of Industrial and Management Optimization
publication date: 2022-11-14T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 7616032
zbMATH Keywords: pairs trading
zbMATH Keywords: reinsurance
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: exponential utility
MaRDI profile type: Publication
full work available at URL: jimo.2022020
OpenAlex ID: W4212783020
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DOI: 10.3934/JIMO.2022020
description: scientific article; zbMATH DE number 7616032