Optimal reinsurance and investment strategy with inflation risks

DOI10.3969/J.ISSN.1674-232X.2018.04.013MaRDI QIDQ4624324zbMATH OpenFDO

Authors

Publication date 22 February 2019

Full work available at URL https://doi.org/10.3969/J.ISSN.1674-232X.2018.04.013

zbMATH Keywords

expected utilityHamilton-Jacob-Bellman equationinflationmixed proportional reinsurancevariance premium rule

Mathematics Subject Classification ID

Recommendations

• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
• Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
• Optimal reinsurance and investment for stochastic differential games with inflation influence
• Robust optimal portfolio and reinsurance for an insurer under inflation risk
• Optimal proportional reinsurance and investment with minimum probability of ruin

Cited in

(5)

• Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
• Robust optimal portfolio and reinsurance for an insurer under inflation risk
• scientific article; zbMATH DE number 6613877 (Why is no real title available?)
• Optimal reinsurance and investment for stochastic differential games with inflation influence
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

This page was built for publication: Optimal reinsurance and investment strategy with inflation risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4624324)