Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
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Publication:2447423
DOI10.1016/J.INSMATHECO.2012.09.003zbMATH Open1285.91057OpenAlexW2009339555MaRDI QIDQ2447423FDOQ2447423
Authors: Ailing Gu, Xianping Guo, Yan Zeng, Zhongfei Li 
Publication date: 25 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.09.003
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Hamilton-Jacobi-Bellman equationconstant elasticity of varianceinsurerexcess-of-loss reinsuranceoptimal investment strategy
Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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Cited In (89)
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
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