scientific article; zbMATH DE number 6135077

MaRDI QIDQ4906135zbMATH OpenFDO

Authors Xinli Zhang, Wenyu Sun

Publication date 7 February 2013

Full work available at URL http://www.yokohamapublishers.jp/online2/oppjo/vol8/p517.html

zbMATH Keywords

Hamilton-Jacobi-Bellman equationMarkov chain approximationportfolio selectionproportional reinsurancestochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Utility theory (91B16) Stochastic models in economics (91B70)

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(2)

• Optimal investment and proportional reinsurance in the Sparre Andersen model
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