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

Insurance: Mathematics and Economics

Volumn 42, Issue 3, 2008, Pages 968-975

  Bai, Lihua ^a   Guo, Junyi ^a  

^a NANKAI UNIVERSITY   (China)

Author keywords

Exponential utility; Hamilton Jacobi Bellman equation; Optimal strategy; Probability of ruin; Proportional reinsurance

Indexed keywords

EID: 43849089862     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.11.002     Document Type: Article

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