Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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Publication:634007
DOI10.1016/j.insmatheco.2011.04.005zbMath1218.91084OpenAlexW2023490476MaRDI QIDQ634007
Zhibin Liang, Kam-Chuen Yuen, Jun-Yi 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
Brownian motionstochastic controlOrnstein-Uhlenbeck processfilteringinvestmentcompound Poisson processproportional reinsurancepartial observationsexponential utilityHamilton-Jacobi-bellman equation
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