Minimax martingale method for optimal investment-reinsurance problem in a general insurance company risk model

MaRDI QIDQ3385100zbMATH OpenFDO

Authors Zijian Zhou, Xu Chen

Publication date 17 December 2021

zbMATH Keywords

investmentproportional reinsurancereinsuranceminimax martingale measure

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(1)

• Optimal investment for an insurer: the martingale approach

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