OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
From MaRDI portal
Publication:3108516
DOI10.1017/S144618111100068XzbMath1230.91077MaRDI QIDQ3108516
Publication date: 4 January 2012
Published in: The ANZIAM Journal (Search for Journal in Brave)
investment; compound Poisson process; proportional reinsurance; exponential utility; Hamilton-Jacobi-bellman equation; jump diffusion risk model
93E20: Optimal stochastic control
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
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OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET, Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk, Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods, Stochastic differential game formulation on the reinsurance and investment problem
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