Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

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DOI10.1016/j.insmatheco.2012.09.003zbMath1285.91057OpenAlexW2009339555MaRDI QIDQ2447423

Yan Zeng, Ailing Gu, Xianping Guo, Zhong-Fei 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

zbMATH Keywords

Hamilton-Jacobi-Bellman equation excess-of-loss reinsurance insurer constant elasticity of variance optimal investment strategy

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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