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Article: Optimal reinsurance and investment strategy with two piece utility function

TitleOptimal reinsurance and investment strategy with two piece utility function
Authors
Chen, LYang, H
KeywordsInvestment
Martingale technique
Optimal control
Proportional reinsurance
Two piece utility function
Issue Date2017
PublisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://aimsciences.org/journals/home.jsp?journalID=5
Citation
Journal of Industrial and Management Optimization, 2017, v. 13 n. 2, p. 737-755 How to Cite?
DOI: http://dx.doi.org/10.3934/jimo.2016044
Persistent Identifierhttp://hdl.handle.net/10722/245300
ISSN
1547-5816
2023 Impact Factor: 1.2
2023 SCImago Journal Rankings: 0.364
ISI Accession Number ID
WOS:000398815200015

 

DC FieldValueLanguage
dc.contributor.authorChen, L-
dc.contributor.authorYang, H-
dc.date.accessioned2017-09-18T02:08:11Z-
dc.date.available2017-09-18T02:08:11Z-
dc.date.issued2017-
dc.identifier.citationJournal of Industrial and Management Optimization, 2017, v. 13 n. 2, p. 737-755-
dc.identifier.issn1547-5816-
dc.identifier.urihttp://hdl.handle.net/10722/245300-
dc.languageeng-
dc.publisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://aimsciences.org/journals/home.jsp?journalID=5-
dc.relation.ispartofJournal of Industrial and Management Optimization-
dc.rightsJournal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences.-
dc.rightsThis is a pre-copy-editing, author-produced PDF of an article accepted for publication in Journal of Industrial and Management Optimization following peer review. The definitive publisher-authenticated version Journal of Industrial and Management Optimization, 2017, v. 13 n. 2, p. 737-755 is available online at: http://www.aimsciences.org/journals/displayArticlesnew.jsp?paperID=12816-
dc.subjectInvestment-
dc.subjectMartingale technique-
dc.subjectOptimal control-
dc.subjectProportional reinsurance-
dc.subjectTwo piece utility function-
dc.titleOptimal reinsurance and investment strategy with two piece utility function-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.3934/jimo.2016044-
dc.identifier.scopuseid_2-s2.0-85016129211-
dc.identifier.hkuros278214-
dc.identifier.volume13-
dc.identifier.issue2-
dc.identifier.spage737-
dc.identifier.epage755-
dc.identifier.isiWOS:000398815200015-
dc.publisher.placeUnited States-
dc.identifier.issnl1547-5816-

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