Optimal investment and reinsurance problem with delay under the CEV model

DOI10.15960/J.CNKI.ISSN.1007-6093.2020.01.006MaRDI QIDQ5128464zbMATH OpenFDO

Authors Chun-Xiang A, Yi Shao

Publication date 27 October 2020

Full work available at URL https://doi.org/10.15960/J.CNKI.ISSN.1007-6093.2020.01.006

zbMATH Keywords

CEV modelHamilton-Jacobi-Bellman equationproportion reinsurancestochastic differential delay equation

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Actuarial mathematics (91G05)

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• Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
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• Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model

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