Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q328530): Difference between revisions

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Property / author: Jun-na Bi / rank
 
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Property / author: Kam-Chuen Yuen / rank
 
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Property / full work available at URL: https://doi.org/10.1007/s00186-016-0538-0 / rank
 
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Property / OpenAlex ID: W2334886797 / rank
 
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Latest revision as of 19:13, 12 July 2024

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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
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    Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (English)
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    20 October 2016
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    mean-variance criterion
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    Hamilton-Jacobi-Bellman equation
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    investment
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    proportional reinsurance
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    jump-diffusion process
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    common shock
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