Martingale method for optimal investment and proportional reinsurance (Q2036123)

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Martingale method for optimal investment and proportional reinsurance
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    title
    Martingale method for optimal investment and proportional reinsurance (English)
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    author
    Shuang-sui Liu
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    Wen-jing Guo
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    Xin-le Tong
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    publication date
    28 June 2021
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    Mathematics Subject Classification ID
    91G05
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    60G44
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    60G51
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    zbMATH DE Number
    7363853
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    zbMATH Keywords
    martingale method
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    proportional reinsurance
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    investment
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    exponential utility
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    quadratic utility
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