OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET (Q5369449)
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scientific article; zbMATH DE number 6792314
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET |
scientific article; zbMATH DE number 6792314 |
Statements
OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET (English)
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17 October 2017
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jump-diffusion risk model
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optimal investment strategy
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proportional reinsurance
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exponential utility
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Hamilton-Jacobi-Bellman equation
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