Constant elasticity of variance model for proportional reinsurance and investment strategies
From MaRDI portal
Publication:661201
DOI10.1016/j.insmatheco.2010.03.001zbMath1231.91193MaRDI QIDQ661201
Yipeng Yang, Shoude Li, Jingyi Zhang, Meng-Di Gu
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.03.001
49L20: Dynamic programming in optimal control and differential games
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