Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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Publication:634007
DOI10.1016/J.INSMATHECO.2011.04.005zbMATH Open1218.91084OpenAlexW2023490476MaRDI QIDQ634007FDOQ634007
Authors: Zhibin Liang, Kam Chuen Yuen, Junyi Guo 
Publication date: 2 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.04.005
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Ornstein-Uhlenbeck processBrownian motioninvestmentfilteringpartial observationsproportional reinsurancestochastic controlexponential utilitycompound Poisson processHamilton-Jacobi-bellman equation
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Optimal stochastic control (93E20)
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