Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model

DOI10.1016/J.CAM.2018.03.035zbMath1422.91320OpenAlexW2800437156WikidataQ129899900 ScholiaQ129899900MaRDI QIDQ1639554

Yi Shao, Yongzeng Lai, Chun-Xiang A

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.03.035

zbMATH Keywords

excess-of-loss reinsurancestochastic optimal controlconstant elasticity of variance modelstochastic differential delay equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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