Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
type: Item
instance of: scholarly article
title: Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
zbMATH Open document ID: 1340.91070
DOI: 10.1016/S0252-9602(15)60002-9
author: Yingchun Deng
author: Ya Huang
author: Jieming Zhou
author: Xiangqun Yang
published in: Acta Mathematica Scientia. Series B. (English Edition)
publication date: 2016-01-15T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6531560
zbMATH Keywords: constant elasticity of variance
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: jump-diffusion process
zbMATH Keywords: exponential utility
zbMATH Keywords: reinsurance
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 6531560