Optimal investment for insurer with jump-diffusion risk process

DOI10.1016/j.insmatheco.2005.06.009zbMath1129.91020OpenAlexW2118573305MaRDI QIDQ817297

Hailiang Yang, Lihong Zhang

Publication date: 8 March 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.009

zbMATH Keywords

utilitystochastic controlHamilton-Jacobi-Bellman equationsmartingalejump-diffusionIto's formula

Mathematics Subject Classification ID

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