Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff

DOI10.1016/j.insmatheco.2014.09.002zbMath1306.91084OpenAlexW2041760786MaRDI QIDQ2514608

Linxiao Wei, Hu, Yijun, Xing-Chun Peng

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.09.002

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationinvestmentconsumptionreinsurance

Mathematics Subject Classification ID

Related Items (6)

Optimal investment and risk control for an insurer under inside information ⋮ Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model ⋮ Unnamed Item ⋮ Derivatives trading for insurers ⋮ Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework ⋮ Exponential utility maximization for an insurer with time-inconsistent preferences

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