Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
From MaRDI portal
Publication:1023113
DOI10.1016/j.insmatheco.2009.01.004zbMath1162.91446OpenAlexW2082447955MaRDI QIDQ1023113
Xin-Li Zhang, Xing-jiang Yu, Ke-Cun Zhang
Publication date: 10 June 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.01.004
Hamilton-Jacobi-Bellman equationtransaction costsproportional reinsuranceconditional value-at-riskexponential utility
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