Optimal proportional reinsurance and investment with minimum probability of ruin

DOI10.1016/j.amc.2011.11.031zbMath1242.91099OpenAlexW2022618210MaRDI QIDQ426584

Cao Yusong, Zeng Xianquan

Publication date: 11 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.11.031

zbMATH Keywords

Hamilton-Jacobi-Bellman equationproportional reinsuranceoptimal reinsurance-investment strategysurplus process

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial and insurance mathematics (aspects of mathematics education) (97M30)

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Cites Work

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