Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock

DOI10.1360/SCM-2017-0371zbMath1499.91105MaRDI QIDQ5064289

Zhibin Liang, Caibin Zhang, Kam-Chuen Yuen

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

zbMATH Keywords

mean-variance; reinsurance and investment; dependent risk; extended Hamilton-Jacobi-Bellman equation; Markovian regime-switching

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

93E20: Optimal stochastic control

91G10: Portfolio theory

91G05: Actuarial mathematics