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- W2379093651 abstract "Considering the proportional reinsurance policy,this paper assumed that the insurer would allocate its surplus between risk-free asset and risky asset,with a stochastic interest rate.Hamilton–Jacobi–Bellman(HJB) equation was established and solved with a CARA utility,and optimal reinsurance and investment strategies were obtained." @default.
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- W2379093651 date "2011-01-01" @default.
- W2379093651 modified "2023-09-22" @default.
- W2379093651 title "Optimal proportional reinsurance and investment under stochastic interest rates" @default.
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