Constant elasticity of variance model for proportional reinsurance and investment strategies

DOI10.1016/j.insmatheco.2010.03.001zbMath1231.91193OpenAlexW2065290976MaRDI 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 equationoptimal strategiesreinsuranceconstant elasticity of variance

Mathematics Subject Classification ID

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Cites Work

• A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts
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• Optimal portfolios for DC pension plans under a CEV model
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• Optimal dynamic reinsurance policies for large insurance portfolios
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• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Optimal Dynamic XL Reinsurance
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