Optimal investment and reinsurance in a jump diffusion risk model (Q3108516)
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scientific article; zbMATH DE number 5994439
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| English | Optimal investment and reinsurance in a jump diffusion risk model |
scientific article; zbMATH DE number 5994439 |
Statements
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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0.9771499037742616
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0.9391902685165404
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0.9192615151405334
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0.919192910194397
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0.9180172085762024
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