Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q1743390)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence |
scientific article |
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Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence (English)
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13 April 2018
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exponential utility
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Hamilton-Jacobi-Bellman equation
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common shock dependence
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investment/reinsurance
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jump-diffusion process
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