Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model (Q2015617): Difference between revisions
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Revision as of 05:33, 5 March 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)
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23 June 2014
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excess-of-loss reinsurance
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Heston model
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jump-diffusion risk model
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Hamilton-Jacobi-Bellman (HJB) equation
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investment
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stochastic volatility
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