Optimal Reinsurance and Investment Policies with the CEV Stock Market 

In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth,we study the optimal proportional reinsurance and investmen...
《Acta Mathematicae Applicatae Sinica》  2016年 第03期 下载次数(12)| 被引次数(0)

On Optimal Proportional Reinsurance and Investment in a Hidden Markov Financial Market 

This paper investigates the optimal reinsurance and investment in a hidden Markov financial market consisting of non-risky(bond) and risky(stock) asset.We assum...
《Acta Mathematicae Applicatae Sinica》  2017年 第01期 下载次数(16)| 被引次数(0)

Optimal proportional reinsurance and dividend payments with transaction costs and internal competition 

We study the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside company and t...
《Applied Mathematics:A Journal of Chinese Universitie…》  2016年 第01期 下载次数(43)| 被引次数(2)