Optimal investment and reinsurance for jump-diffusion surplus processes
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Publication:5319600
zbMATH Open1174.62555MaRDI QIDQ5319600FDOQ5319600
Authors: Zhibin Liang 
Publication date: 22 July 2009
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)
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- Optimal investment and reinsurance for an insurer under Markov-modulated financial market
- Barrier present value maximization for a diffusion model of insurance surplus
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- Optimal reinsurance under a jump diffusion model
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