Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps

DOI10.1016/j.cam.2019.01.034zbMath1410.91295OpenAlexW2913733851WikidataQ128411568 ScholiaQ128411568MaRDI QIDQ2423668

Qiang Zhang, Ping Chen

Publication date: 20 June 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.01.034

zbMATH Keywords

defaultable bondjump-diffusionexponential utilityrobust optimal controlproportional reinsurance and investment

Mathematics Subject Classification ID

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