Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
From MaRDI portal
Publication:2514608
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
60H30: Applications of stochastic analysis (to PDEs, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
91G10: Portfolio theory
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