Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

DOI10.1016/j.cam.2015.09.032zbMath1331.91097OpenAlexW1758966433MaRDI QIDQ898969

Ya Huang, Xiang-Qun Yang, Jie-Ming Zhou

Publication date: 21 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.09.032

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinvestmentproportional reinsuranceexponential utilityjump-diffusion process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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