On reinsurance and investment for large insurance portfolios

DOI10.1016/j.insmatheco.2007.04.002zbMath1141.91532OpenAlexW1968457222MaRDI QIDQ939386

Shangzhen Luo, Michael I. Taksar, Allanus H. Tsoi

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.04.002

zbMATH Keywords

Hamilton-Jacobi-Bellman equation stochastic control Black-Scholes model ruin probability proportional reinsurance

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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