Optimal reinsurance-investment strategy for a dynamic contagion claim model (Q784437)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance-investment strategy for a dynamic contagion claim model |
scientific article |
Statements
Optimal reinsurance-investment strategy for a dynamic contagion claim model (English)
0 references
3 August 2020
0 references
reinsurance-investment problem
0 references
dynamic contagion claims
0 references
self-exciting effect
0 references
externally-exciting effect
0 references
time-consistent mean-variance criterion
0 references
0 references
0 references
