On stochastic optimal reinsurance and investment strategies for the surplus under the CEV model

MaRDI QIDQ4916680zbMATH OpenFDO

Authors Eun Ju Jung, Jai Heui Kim

Publication date 25 April 2013

zbMATH Keywords

CEV modelHJB equationstochastic optimal controlreinsuranceLegendre transformexponential utility functionsurplus process

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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