Risk minimization for an insurer with investment and reinsurance via g-expectation

DOI10.1080/03610926.2018.1504077MaRDI QIDQ5077872zbMATH OpenOpenAlexFDO

Authors Fenge Chen, Wenyuan Wang, Xingchun Peng

Publication date 20 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1504077

zbMATH Keywords

\(g\)-expectationinvestmentMalliavin calculusreinsurancestochastic maximum principles

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Statistics (62-XX) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Financial and insurance mathematics (aspects of mathematics education) (97M30)

Cites work

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• Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

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