Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model-Reference-Cited by-同舟云学术

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Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model

Published:2018-11 Issue: Volume:342 Page:317-336
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

A Chunxiang,Lai Yongzeng,Shao Yi

Funder

National Natural Science Foundation of China

NSERC (The Natural Sciences and Engineering Research Council Canada)

Guangxi University of Finance and Economics (China)

Natural Science Foundation of Guangdong Province of China

Key Programs of the National Natural Science Foundation of China

the National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference43 articles.

1. Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin;Browne;Math. Oper. Res.,1995

2. Optimal investment-reinsurance with delay for mean–variance insurers: A maximum principle approach;Shen;Insurance Math. Econom.,2014

3. Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables;Huang;J. Comput. Appl. Math.,2016

4. Optimal risk control and dividend distribution policies: example of excess-of-loss reinsurance for an insurance corporation;Asmussen;Finance Stoch.,2000

5. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection;Bai;Science in China. Series A,2010

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