School of Insurance, Central University of Finance and Economics, Beijing; Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China
Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China
Department of Mathematics and Statistics, Curtin University, Perth, Australia
Department of Mathematics and Statistics, Curtin University, Perth, Australia
Copyright © 2013 Jingzhen Liu, Ka Fai Cedric Yiu, Ryan C. Loxton, Kok Lay Teo et al. This is
an open access article distributed under the Creative Commons Attribution
License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
How to Cite this Article
J. Liu, K. Yiu, R. Loxton and K. Teo, "Optimal Investment and Proportional Reinsurance with Risk Constraint,"
Journal of Mathematical Finance, Vol. 3 No. 4, 2013, pp. 437-447. doi:
10.4236/jmf.2013.34046.