Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
From MaRDI portal
Publication:5064289
DOI10.1360/SCM-2017-0371zbMath1499.91105MaRDI QIDQ5064289
Zhibin Liang, Caibin Zhang, Kam-Chuen Yuen
Publication date: 21 March 2022
Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1360/scm-2017-0371
mean-variance; reinsurance and investment; dependent risk; extended Hamilton-Jacobi-Bellman equation; Markovian regime-switching
62P05: Applications of statistics to actuarial sciences and financial mathematics
93E20: Optimal stochastic control
91G10: Portfolio theory
91G05: Actuarial mathematics