Optimal reinsurance and investment strategy with two piece utility function
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Publication:2628182
DOI10.3934/jimo.2016044zbMath1406.91197OpenAlexW2514035194MaRDI 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
Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (3)
Minimizing expected time to reach a given capital level before ruin ⋮ Optimal investment and risk control problems with delay for an insurer in defaultable market ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information
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