Optimal reinsurance and investment strategy with delay in Heston's SV model (Q2240102)
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scientific article; zbMATH DE number 7421464
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| English | Optimal reinsurance and investment strategy with delay in Heston's SV model |
scientific article; zbMATH DE number 7421464 |
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Optimal reinsurance and investment strategy with delay in Heston's SV model (English)
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5 November 2021
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proportional reinsurance
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stochastic differential delay equation (SDDE)
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Heston's stochastic volatility (SV) model
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Hamilton-Jacobi-Bellman (HJB) equation
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0.9422500133514404
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0.893139123916626
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0.8854555487632751
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0.8849279880523682
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