Optimal control of risk exposure, reinsurance and investments for insurance portfolios

DOI10.1016/j.insmatheco.2004.04.004zbMath1052.62107OpenAlexW2090752464MaRDI QIDQ1888891

Christian Irgens, Jostein Paulsen

Publication date: 29 November 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.04.004

zbMATH Keywords

proportional reinsuranceinvestment strategyexcess of loss reinsuranceHamilton-Jacobi-Bellmann equationdiffusion perturbed risk process

Mathematics Subject Classification ID

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