Optimal investment and excess of loss reinsurance with short-selling constraint (Q475706)
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scientific article; zbMATH DE number 6374524
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| English | Optimal investment and excess of loss reinsurance with short-selling constraint |
scientific article; zbMATH DE number 6374524 |
Statements
Optimal investment and excess of loss reinsurance with short-selling constraint (English)
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27 November 2014
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Hamilton-Jacobi-Bellman equation
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jump-diffusion process
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short-selling constraint
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XL reinsurance
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0.8713480234146118
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0.8594281077384949
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0.8554742336273193
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0.8542847037315369
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0.8518431186676025
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