Barrier present value maximization for a diffusion model of insurance surplus

DOI10.1080/03461238.2015.1031165zbMath1401.91170OpenAlexW1979033281MaRDI QIDQ4575383

Shangzhen Luo, Ming-Ming Wang

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1031165

zbMATH Keywords

diffusion approximationHJB equationinvestmentreinsurancebarrier present value

Mathematics Subject Classification ID

Related Items (1)

Robust optimal reinsurance in minimizing the penalized expected time to reach a goal

Cites Work

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