Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

DOI10.1007/s00186-016-0538-0zbMath1348.91165MaRDI QIDQ328530

Zhibin Liang, Caibin Zhang, Jun-na Bi, Kam-Chuen Yuen

Publication date: 20 October 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-016-0538-0

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; investment; proportional reinsurance; mean-variance criterion; jump-diffusion process; common shock

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure, Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market, Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence

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