Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q328530): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 23:59, 4 March 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 |
scientific article |
Statements
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (English)
0 references
20 October 2016
0 references
mean-variance criterion
0 references
Hamilton-Jacobi-Bellman equation
0 references
investment
0 references
proportional reinsurance
0 references
jump-diffusion process
0 references
common shock
0 references
