Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q328530)
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scientific article; zbMATH DE number 6641435
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| English | Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence |
scientific article; zbMATH DE number 6641435 |
Statements
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (English)
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20 October 2016
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mean-variance criterion
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Hamilton-Jacobi-Bellman equation
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investment
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proportional reinsurance
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jump-diffusion process
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common shock
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0.9458332061767578
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0.900212287902832
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0.8812841773033142
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0.8806602954864502
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