Optimal investment and excess of loss reinsurance with short-selling constraint (Q475706)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and excess of loss reinsurance with short-selling constraint |
scientific article |
Statements
Optimal investment and excess of loss reinsurance with short-selling constraint (English)
0 references
27 November 2014
0 references
Hamilton-Jacobi-Bellman equation
0 references
jump-diffusion process
0 references
short-selling constraint
0 references
XL reinsurance
0 references
0 references
0 references
0 references
