Optimal proportional reinsurance with common shock dependence
type: Item
instance of: scholarly article
title: Optimal proportional reinsurance with common shock dependence
zbMATH Open document ID: 1348.91191
author: Zhibin Liang
author: Ming Zhou
author: Kam Chuen Yuen
published in: Insurance Mathematics \& Economics
publication date: 2015-09-14T00:00:00Z
full work available at URL: http://hdl.handle.net/10722/214577
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6481757
zbMATH Keywords: dependent risks
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: compound Poisson process
zbMATH Keywords: Brownian motion
zbMATH Keywords: exponential utility
zbMATH Keywords: proportional reinsurance
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2196240778
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DOI: 10.1016/J.INSMATHECO.2015.04.009
description: scientific article; zbMATH DE number 6481757