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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: 9813Downloads: 9340
exponential utility maximization Hamilton-Jacobi-Bellman equations (HJB) insurer and reinsurer optimal strategies stochastic differential equations (SDEs)
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