Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
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Publication:1743390
DOI10.1007/s12190-017-1119-yzbMath1410.91273MaRDI QIDQ1743390
Zhibin Liang, Caibin Zhang, Kam-Chuen Yuen
Publication date: 13 April 2018
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/249693
Hamilton-Jacobi-Bellman equation; exponential utility; jump-diffusion process; common shock dependence; investment/reinsurance
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