Optimal investment and reinsurance for jump-diffusion surplus processes

zbMATH Open1174.62555MaRDI QIDQ5319600FDOQ5319600

Zhibin Liang

Publication date: 22 July 2009

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controljump-diffusion processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Cited In (8)

• A dynamic reinsurance theory
• Robust optimal investment and reinsurance of an insurer under jump-diffusion models
• Optimal investment and reinsurance for an insurer under Markov-modulated financial market
• Barrier present value maximization for a diffusion model of insurance surplus
• Title not available (Why is that?)
• Optimal investment and reinsurance problem with jump-diffusion model
• Optimal investment and excess of loss reinsurance with short-selling constraint
• Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process

   Recommendations

• Optimal investment and proportional reinsurance for jump-diffusion risk processes: expected value principle 👍 👎
• OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL 👍 👎
• Title not available (Why is that?) 👍 👎
• Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process 👍 👎
• Optimal investment for insurer with jump-diffusion risk process 👍 👎

This page was built for publication: Optimal investment and reinsurance for jump-diffusion surplus processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5319600)