Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
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Publication:5369449
DOI10.1017/S1446181115000280zbMATH Open1376.91101MaRDI QIDQ5369449FDOQ5369449
Authors: Huiming Zhu, Ya Huang, Chao Deng, Jieming Zhou, Xiangqun Yang 
Publication date: 17 October 2017
Published in: The ANZIAM Journal (Search for Journal in Brave)
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Hamilton-Jacobi-Bellman equationproportional reinsuranceexponential utilityoptimal investment strategyjump-diffusion risk model
Cites Work
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Cited In (9)
- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
- Optimal proportional reinsurance and investment in jump diffusion markets with no short-selling and no borrowing
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- Optimal investment and excess of loss reinsurance with short-selling constraint
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
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