Optimal reinsurance and investment strategy with two piece utility function
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Publication:2628182
DOI10.3934/jimo.2016044zbMath1406.91197MaRDI QIDQ2628182
Publication date: 12 June 2017
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016044
91B16: Utility theory
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
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