Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff

DOI10.1016/j.insmatheco.2014.09.002zbMath1306.91084MaRDI QIDQ2514608

Linxiao Wei, Hu, Yijun, Xing-Chun Peng

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.09.002

zbMATH Keywords

Malliavin calculus; backward stochastic differential equation; investment; consumption; reinsurance

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus

91G10: Portfolio theory

Related Items

Unnamed Item, Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model, Optimal investment and risk control for an insurer under inside information, Derivatives trading for insurers, Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework, Exponential utility maximization for an insurer with time-inconsistent preferences

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