Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

DOI10.1016/J.INSMATHECO.2011.04.005zbMath1218.91084OpenAlexW2023490476MaRDI QIDQ634007

Zhibin Liang, Kam-Chuen Yuen, Jun-Yi Guo

Publication date: 2 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.04.005

zbMATH Keywords

Brownian motionstochastic controlOrnstein-Uhlenbeck processfilteringinvestmentcompound Poisson processproportional reinsurancepartial observationsexponential utilityHamilton-Jacobi-bellman equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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