Barrier present value maximization for a diffusion model of insurance surplus

DOI10.1080/03461238.2015.1031165MaRDI QIDQ4575383zbMATH OpenOpenAlexFDO

Authors 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

barrier present valuediffusion approximationHJB equationinvestmentreinsurance

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

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Cited in

(1)

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

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