Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q328530): Difference between revisions
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Revision as of 23:58, 8 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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