Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model (Q2015617)
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scientific article; zbMATH DE number 6306895
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| English | Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model |
scientific article; zbMATH DE number 6306895 |
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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model (English)
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23 June 2014
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excess-of-loss reinsurance
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Heston model
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jump-diffusion risk model
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Hamilton-Jacobi-Bellman (HJB) equation
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investment
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stochastic volatility
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0.9277454614639282
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0.8936814069747925
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0.8892847299575806
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0.8882629871368408
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0.8873916864395142
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