Optimal control for insurers with a jump-diffusion risk process

DOI10.13371/J.CNKI.CHIN.Q.J.M.2015.04.009MaRDI QIDQ2994030zbMATH OpenFDO

Authors Kun Wu, Jian-Wu Xiao, Ronghua Luo

Publication date 10 August 2016

Full work available at URL https://doi.org/10.13371/J.CNKI.CHIN.Q.J.M.2015.04.009

zbMATH Keywords

HJB equationjump-diffusion processvariance principle

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

Recommendations

• Optimal reinsurance under a jump diffusion model
• Optimal investment for insurer with jump-diffusion risk process
• Optimal investment and reinsurance in a jump diffusion risk model
• Optimal investment and reinsurance for jump-diffusion surplus processes
• Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions

Cited in

(3)

• Insurance pricing using \(H_{\infty}\)-control
• Optimal reinsurance under a jump diffusion model
• scientific article; zbMATH DE number 7071860 (Why is no real title available?)

This page was built for publication: Optimal control for insurers with a jump-diffusion risk process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2994030)