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

zbMATH Open1272.93131MaRDI QIDQ4916680FDOQ4916680

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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