Optimal proportional reinsurance and investment with minimum probability of ruin

DOI10.1016/j.amc.2011.11.031zbMath1242.91099MaRDI QIDQ426584

Cao Yusong, Zeng Xianquan

Publication date: 11 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.11.031

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; proportional reinsurance; optimal reinsurance-investment strategy; surplus process

Mathematics Subject Classification ID

91G80: Financial applications of other theories

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

97M30: Financial and insurance mathematics (aspects of mathematics education)

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Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps, Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims

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