Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model

DOI10.1002/asmb.934zbMath1286.91068OpenAlexW1996676951MaRDI QIDQ5414522

Zhibin Liang, Ka Chun Cheung, Kam-Chuen Yuen

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.934

zbMATH Keywords

stochastic controlinvestmentproportional reinsuranceCEV modelexponential utility

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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