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)

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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