Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer

DOI10.3934/era.2022234OpenAlexW4312940986MaRDI QIDQ2699113

Mengjie Li, Qinrui Si, Xia Zhao

Publication date: 26 April 2023

Published in: Electronic Research Archive (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/era.2022234

zbMATH Keywords

utility functionHJB equationsinvestment-reinsurancederivatives tradingcertainty-equivalence

Mathematics Subject Classification ID

Calculus of variations and optimal control; optimization (49-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (max. 100)

Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion

Cites Work

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