OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
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Publication:3108516
DOI10.1017/S144618111100068XzbMath1230.91077MaRDI QIDQ3108516
Publication date: 4 January 2012
Published in: The ANZIAM Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s144618111100068x
investment; compound Poisson process; proportional reinsurance; exponential utility; Hamilton-Jacobi-bellman equation; jump diffusion risk model
93E20: Optimal stochastic control
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
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