Open AccessOn maximizing the expected terminal utility by investment and reinsurance
Author(s) -
Lin Xu,
Rongming Wang,
Dingjun Yao
Publication year - 2008
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2008.4.801
Subject(s) - reinsurance , expected utility hypothesis , bellman equation , stochastic control , investment (military) , terminal (telecommunication) , economics , brownian motion , function (biology) , expected value , hamilton–jacobi–bellman equation , value (mathematics) , mathematical economics , actuarial science , microeconomics , optimal control , mathematical optimization , computer science , mathematics , statistics , politics , political science , law , telecommunications , evolutionary biology , biology
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