Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer

DOI10.3934/era.2022234MaRDI QIDQ2699113

Mengjie Li, Qinrui Si, Xia Zhao

Publication date: 26 April 2023

Published in: Electronic Research Archive (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/era.2022234

zbMATH Keywords

utility function; HJB equations; investment-reinsurance; derivatives trading; certainty-equivalence

Mathematics Subject Classification ID

49-XX: Calculus of variations and optimal control; optimization

91-XX: Game theory, economics, finance, and other social and behavioral sciences