Mean-variance problem for an insurer with default risk under a jump-diffusion risk model (Q5076896)
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scientific article; zbMATH DE number 7528155
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| English | Mean-variance problem for an insurer with default risk under a jump-diffusion risk model |
scientific article; zbMATH DE number 7528155 |
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Mean-variance problem for an insurer with default risk under a jump-diffusion risk model (English)
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17 May 2022
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defaultable bond
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investment and reinsurance
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mean-variance criterion
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viscosity solution
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Hamilton-Jacobi-Bellman equation
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0.8715996742248535
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0.8672789931297302
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0.8667082786560059
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