Robust optimal investment and reinsurance of an insurer under jump-diffusion models

DOI10.3934/mcrf.2019003zbMath1426.91237OpenAlexW2887263516WikidataQ129384286 ScholiaQ129384286MaRDI QIDQ2327727

Xin Zhang, Yang Shen, Jie Xiong, Hui Meng

Publication date: 15 October 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2019003

zbMATH Keywords

robust controlstochastic differential gameproportional reinsurancejump-diffusion modelHJBI equation

Mathematics Subject Classification ID

Related Items (1)

Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model

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