| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076967 | Insurance: Mathematics and Economics | 2011 | 9 Pages |
Abstract
⺠We study the optimal investment/reinsurance problem in a stock market with O-U process. ⺠Compared with the GBM model, this model has the features of bull and bear markets. ⺠The explicit expressions of the optimal values are derived in the observable case. ⺠We investigate the partially observable optimization problem. ⺠The explicit expressions of the optimal values are derived in the unobservable case.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhibin Liang, Kam Chuen Yuen, Junyi Guo,