Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function

DOI10.15960/J.CNKI.ISSN.1007-6093.2016.01.009MaRDI QIDQ2825065zbMATH OpenFDO

Authors Ailing Gu, Shumin Chen

Publication date 6 October 2016

Published in Operations Research Transactions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15960/J.CNKI.ISSN.1007-6093.2016.01.009

zbMATH Keywords

excess-of-loss reinsuranceHamilton-Jacobi-Bellman equationregime-switchingstate-dependent utility function

Mathematics Subject Classification ID

Portfolio theory (91G10)

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