Mean-variance problem for an insurer with default risk under a jump-diffusion risk model (Q5076896): Difference between revisions
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Revision as of 21:39, 19 March 2024
scientific article; zbMATH DE number 7528155
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance problem for an insurer with default risk under a jump-diffusion risk model |
scientific article; zbMATH DE number 7528155 |
Statements
Mean-variance problem for an insurer with default risk under a jump-diffusion risk model (English)
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17 May 2022
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defaultable bond
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investment and reinsurance
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mean-variance criterion
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viscosity solution
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Hamilton-Jacobi-Bellman equation
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