Open AccessOptimal reinsurance and investment strategy with two piece utility function
Author(s) -
Chen Lv,
Hailiang Yang
Publication year - 2017
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.2016044
Subject(s) - reinsurance , expected utility hypothesis , utility maximization problem , mathematical optimization , isoelastic utility , martingale (probability theory) , optimization problem , generalization , investment strategy , utility maximization , regular polygon , maximization , preference , investment (military) , computer science , mathematical economics , economics , mathematics , actuarial science , microeconomics , profit (economics) , mathematical analysis , geometry , politics , political science , law