Constant elasticity of variance model for proportional reinsurance and investment strategies

DOI10.1016/j.insmatheco.2010.03.001zbMath1231.91193MaRDI QIDQ661201

Yipeng Yang, Shoude Li, Jingyi Zhang, Meng-Di Gu

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.2010.03.001

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; optimal strategies; reinsurance; constant elasticity of variance

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

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