Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

DOI10.1016/j.insmatheco.2007.11.002zbMath1147.93046OpenAlexW1978721202MaRDI QIDQ931183

Lihua Bai, Jun-Yi Guo

Publication date: 25 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.11.002

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal strategyproportional reinsuranceexponential utilityprobability of ruin

Mathematics Subject Classification ID

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Cites Work

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• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Betting Systems Which Minimize the Probability of Ruin
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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