Optimal Control of Investment-Reinsurance Problem for an Insurer with Jump-Diffusion Risk Process: Independence of Brownian Motions
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DOI: 10.1155/2014/194962
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Cited by:
- Hiroaki Hata & Shuenn-Jyi Sheu & Li-Hsien Sun, 2019. "Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case," Papers 1903.08957, arXiv.org.
- Brachetta, M. & Ceci, C., 2019. "Optimal proportional reinsurance and investment for stochastic factor models," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 15-33.
- Matteo Brachetta & Claudia Ceci, 2019. "Optimal excess-of-loss reinsurance for stochastic factor risk models," Papers 1904.05422, arXiv.org.
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