Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q328530): Difference between revisions

@@ Property / author @@
+Kam-Chuen Yuen
@@ Property / author: Kam-Chuen Yuen / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6641435
@@ Property / zbMATH DE Number: 6641435 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-variance criterion
@@ Property / zbMATH Keywords: mean-variance criterion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hamilton-Jacobi-Bellman equation
@@ Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+investment
@@ Property / zbMATH Keywords: investment / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+proportional reinsurance
@@ Property / zbMATH Keywords: proportional reinsurance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusion process
@@ Property / zbMATH Keywords: jump-diffusion process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+common shock
@@ Property / zbMATH Keywords: common shock / rank @@
+Normal rank

Revision as of 04:33, 28 June 2023