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

@@ Property / DOI @@
-.1007/s00186-016-0538-0
@@ Property / DOI: 10.1007/s00186-016-0538-0 / rank @@
-Normal rank
@@ Property / author @@
-Jun-na Bi
@@ Property / author: Jun-na Bi / rank @@
-Normal rank
@@ Property / author @@
-Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
-Normal rank
@@ Property / author @@
+Jun-na Bi
@@ Property / author: Jun-na Bi / rank @@
+Normal rank
@@ Property / author @@
+Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / zbMATH DE Number @@
+6641435
@@ Property / zbMATH DE Number: 6641435 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-variance criterion
@@ Property / zbMATH Keywords: mean-variance criterion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hamilton-Jacobi-Bellman equation
@@ Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+investment
@@ Property / zbMATH Keywords: investment / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+proportional reinsurance
@@ Property / zbMATH Keywords: proportional reinsurance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusion process
@@ Property / zbMATH Keywords: jump-diffusion process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+common shock
@@ Property / zbMATH Keywords: common shock / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00186-016-0538-0
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@@ Property / OpenAlex ID @@
+W2334886797
@@ Property / OpenAlex ID: W2334886797 / rank @@
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@@ Property / cites work @@
+A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
+Normal rank
@@ Property / cites work @@
+Benchmark and mean-variance problems for insurers
@@ Property / cites work: Benchmark and mean-variance problems for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control of risk exposure, reinsurance and investments for insurance portfolios
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment with unobservable claim size and intensity
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Convex Programming and Duality in Normed Space
@@ Property / cites work: Convex Programming and Duality in Normed Space / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / DOI @@
+.1007/S00186-016-0538-0
@@ Property / DOI: 10.1007/S00186-016-0538-0 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:328530