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Optimal Portfolios of an Insurer and a Reinsurer with Proportional Reinsurance through Exponential Utility Maximization under Constant Elasticity of Variance Model

by Silas A. Ihedioha, Danat N. Tanko and Dominic P. Shie

Journal of Mathematical Sciences and Applications. 2018, 6(1), 6-12. DOI: 10.12691/jmsa-6-1-2
Pub. Date: October 23, 2018Views: 9800 Downloads: 9306Like: 0

exponential utility maximization Hamilton-Jacobi-Bellman equations (HJB) insurer and reinsurer optimal strategies stochastic differential equations (SDEs)

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