Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model (Q2015617): Difference between revisions
From MaRDI portal
Latest revision as of 16:37, 8 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model |
scientific article |
Statements
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model (English)
0 references
23 June 2014
0 references
excess-of-loss reinsurance
0 references
Heston model
0 references
jump-diffusion risk model
0 references
Hamilton-Jacobi-Bellman (HJB) equation
0 references
investment
0 references
stochastic volatility
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
