Barrier present value maximization for a diffusion model of insurance surplus

DOI10.1080/03461238.2015.1031165zbMath1401.91170OpenAlexW1979033281MaRDI QIDQ4575383

Shangzhen Luo, Ming-Ming Wang

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1031165

zbMATH Keywords

diffusion approximationHJB equationinvestmentreinsurancebarrier present value

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Robust optimal reinsurance in minimizing the penalized expected time to reach a goal

Cites Work

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