Optimal dynamic reinsurance with dependent risks: variance premium principle

DOI10.1080/03461238.2014.892899zbMath1401.91167OpenAlexW2030862733MaRDI QIDQ4576956

Zhibin Liang, Kam-Chuen Yuen

Publication date: 11 July 2018

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

Full work available at URL: http://hdl.handle.net/10722/199242

zbMATH Keywords

Hamilton-Jacobi-Bellman equationBrownian motiondiffusion processcompound Poisson processproportional reinsuranceexponential utilitycommon shock

Mathematics Subject Classification ID

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