Optimal reinsurance and investment problem for an insurer with counterparty risk (Q2347114): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.01.013 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2060173475 / rank | |||
Normal rank | |||
Revision as of 23:32, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance and investment problem for an insurer with counterparty risk |
scientific article |
Statements
Optimal reinsurance and investment problem for an insurer with counterparty risk (English)
0 references
26 May 2015
0 references
optimal reinsurance
0 references
optimal investment
0 references
default risk
0 references
Hamilton-Jacobi-Bellman equation
0 references
Heston model
0 references
