Optimal reinsurance and investment strategy with delay in Heston's SV model

DOI10.1007/s40305-020-00331-8zbMath1488.91088OpenAlexW3137393630MaRDI QIDQ2240102

Publication date: 5 November 2021

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-020-00331-8

zbMATH Keywords

proportional reinsurance Hamilton-Jacobi-Bellman (HJB) equation stochastic differential delay equation (SDDE)Heston's stochastic volatility (SV) model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Actuarial mathematics (91G05)

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