Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth (Q1023113): Difference between revisions

@@ Property / DOI @@
-.1016/j.insmatheco.2009.01.004
@@ Property / DOI: 10.1016/j.insmatheco.2009.01.004 / rank @@
-Normal rank
@@ Property / author @@
-Ke-Cun Zhang
@@ Property / author: Ke-Cun Zhang / rank @@
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@@ Property / author @@
-Xing-jiang Yu
@@ Property / author: Xing-jiang Yu / rank @@
-Normal rank
@@ Property / author @@
+Ke-Cun Zhang
@@ Property / author: Ke-Cun Zhang / rank @@
+Normal rank
@@ Property / author @@
+Xing-jiang Yu
@@ Property / author: Xing-jiang Yu / rank @@
+Normal rank
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+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2009.01.004
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@@ Property / OpenAlex ID @@
+W2082447955
@@ Property / OpenAlex ID: W2082447955 / rank @@
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@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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+Optimal investment for insurers
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+On reinsurance and investment for large insurance portfolios
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+Optimal Proportional Reinsurance Policies in a Dynamic Setting
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+On minimizing the ruin probability by investment and reinsurance
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+Optimal dynamic reinsurance policies for large insurance portfolios
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@@ Property / cites work @@
+A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
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@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / DOI @@
+.1016/J.INSMATHECO.2009.01.004
@@ Property / DOI: 10.1016/J.INSMATHECO.2009.01.004 / rank @@
+Normal rank