Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model (Q2406314)
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scientific article; zbMATH DE number 6781172
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| English | Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model |
scientific article; zbMATH DE number 6781172 |
Statements
Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model (English)
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27 September 2017
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proportional reinsurance
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jump diffusion risk model
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Hamilton-Jacobi-Bellman (HJB) equation
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constant elasticity of variance (CEV) model
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investment for reinsurer
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0.9206570982933044
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0.9177254438400269
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0.91767817735672
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0.9143086075782776
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