Theoretical analysis for optimal proportional reinsurance and investment problem (PJO) |
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Volume 8
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Number 3
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pp.517-531
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Theoretical analysis for optimal proportional reinsurance and investment problem |
Xinli Zhang and Wenyu Sun |
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Key words |
Mathematices Subject Classification |
amilton-Jacobi-Bellman equation, portfolio selection, proportional reinsurance, stochastic control, Markov chain approximation |
49L20 |
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Copyright© 2012 Yokohama Publishers |
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