Optimal control for insurers with a jump-diffusion risk process

DOI10.13371/J.CNKI.CHIN.Q.J.M.2015.04.009zbMATH Open1349.93412MaRDI QIDQ2994030FDOQ2994030

Authors: Kun Wu, Jian-Wu Xiao, Ronghua Luo 

Publication date: 10 August 2016

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zbMATH Keywords

HJB equationjump-diffusion processvariance principle

Mathematics Subject Classification ID

Diffusion processes (60J60) Optimal stochastic control (93E20)

Cited In (3)

• Insurance pricing using \(H_{\infty}\)-control
• Optimal reinsurance under a jump diffusion model
• Title not available (Why is that?)

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