Optimal Investment and Risk Control Strategies for an Insurer Subject to a Stochastic Economic Factor in a Lévy Market - Shen, Weiwei; Yin, Juliang (Methodology and computing in applied probability, 2022)
Keywords: Business and Management; Capital gains; Default; Differential equations; Dynamic programming; Economic factors; Economics; Electrical Engineering; Expected utility; Life Sciences; Logarithms; Markov analysis; Mathematics and Statistics; Numerical analysis; Optimization; Portfolio investments; Risk management; Securities markets; Statistics; Strategy; Utility functions; Viscosity; Stochastic economic factor; 93E20; 49J20; Optimal control; Viscosity solution; Lévy processes; HARA utility; 91G80; PIDE