Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

DOI10.1016/j.insmatheco.2015.12.008zbMath1348.91195OpenAlexW2209055372MaRDI QIDQ282274

Xiaoxiao Zheng, Zhongyang Sun, Jie-Ming Zhou

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.008

zbMATH Keywords

robust controlconstant elasticity of varianceCramér-Lundberg risk modelexponential utilityHamilton-Jacobi-Bellman-Isaacs equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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