Optimal investment-reinsurance policy with regime switching and value-at-risk constraint

DOI10.3934/jimo.2019050zbMath1476.91135OpenAlexW2950967883MaRDI QIDQ2244207

Hongtao Yang, Ming Yan, Lei Zhang, Shuhua Zhang

Publication date: 12 November 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2019050

zbMATH Keywords

dynamic programmingLagrangian methodruin probabilityvalue-at-riskregime-switchinginvestment-reinsurance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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