The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model (Q5382690)
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scientific article; zbMATH DE number 7067517
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model |
scientific article; zbMATH DE number 7067517 |
Statements
The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model (English)
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18 June 2019
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optimal investment for a general insurance company
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weighted sum of wealth
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constant elasticity of variance (CEV) model
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proportional reinsurance
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exponential utility maximization
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