Optimal reinsurance-investment strategy for a dynamic contagion claim model (Q784437)
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scientific article; zbMATH DE number 7226838
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| English | Optimal reinsurance-investment strategy for a dynamic contagion claim model |
scientific article; zbMATH DE number 7226838 |
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Optimal reinsurance-investment strategy for a dynamic contagion claim model (English)
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3 August 2020
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reinsurance-investment problem
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dynamic contagion claims
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self-exciting effect
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externally-exciting effect
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time-consistent mean-variance criterion
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0.9057005643844604
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0.7893328070640564
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0.7812708616256714
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0.7781728506088257
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0.7747633457183838
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