Optimal investment, consumption and proportional reinsurance under model uncertainty

DOI10.1016/j.insmatheco.2014.09.013zbMath1306.91131MaRDI QIDQ2514622

Fenge Chen, 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.2014.09.013

zbMATH Keywords

Malliavin calculus; stochastic maximum principle; model uncertainty; investment; consumption; reinsurance

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

91A80: Applications of game theory

93E20: Optimal stochastic control

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

91A15: Stochastic games, stochastic differential games

60H07: Stochastic calculus of variations and the Malliavin calculus

91G10: Portfolio theory

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