OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL (Q3108516)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL |
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OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL (English)
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4 January 2012
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jump diffusion risk model
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proportional reinsurance
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investment
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compound Poisson process
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exponential utility
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Hamilton-Jacobi-bellman equation
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