Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
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Publication:659110
DOI10.1016/j.insmatheco.2009.05.006zbMath1231.91150OpenAlexW2005412608MaRDI QIDQ659110
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.006
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- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal reinsurance under mean-variance premium principles
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