Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
DOI10.1051/RO/2019010zbMATH Open1418.62373OpenAlexW2909403766WikidataQ128594296 ScholiaQ128594296MaRDI QIDQ5380970FDOQ5380970
Authors: Kailing Chen, Junna Bi 
Publication date: 7 June 2019
Published in: RAIRO - Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ro/2019010
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HJB equationexponential utilitycompound Poisson processdependent riskoptimal investment-reinsuranceBrownian motion diffusion risk model
Applications of statistics to economics (62P20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)
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- Robust optimal investment and reinsurance problems with learning
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- Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
- Optimal mean-variance reinsurance with common shock dependence
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
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