Open AccessOptimal reinsurance-investment problem with dependent risks based on Legendre transform
Author(s) -
Yan Zhang,
Peibiao Zhao
Publication year - 2020
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2019011
Subject(s) - reinsurance , legendre transformation , exponential utility , volatility (finance) , legendre polynomials , exponential function , expected utility hypothesis , stochastic control , mathematical optimization , risk aversion (psychology) , asset (computer security) , mathematics , mathematical economics , econometrics , economics , optimal control , computer science , actuarial science , mathematical analysis , computer security