Optimal time-consistent investment and reinsurance strategies with default risk and delay under Heston's SV model

DOI10.1155/2021/8834842zbMATH Open1512.91109MaRDI QIDQ6483752FDOQ6483752

Sheng Li, Zhijian Qiu

Publication date: 3 May 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

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Mathematics Subject Classification ID

Actuarial mathematics (91G05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Cited In (2)

• Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
• Robust optimal investment problem with delay under Heston's model

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