Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q1743390)
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scientific article; zbMATH DE number 6859503
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| English | Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence |
scientific article; zbMATH DE number 6859503 |
Statements
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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0.9458332061767578
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0.9068835973739624
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0.8858132362365723
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0.8838433623313904
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