Optimal reinsurance and investment with unobservable claim size and intensity

DOI10.1016/j.insmatheco.2014.01.011zbMath1296.91161OpenAlexW2027895939MaRDI QIDQ743155

Erhan Bayraktar, Zhibin Liang

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.011

zbMATH Keywords

proportional reinsuranceoptimal investmentMarkov-modulated compound Poisson process

Mathematics Subject Classification ID

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