Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables (Q898969)
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scientific article; zbMATH DE number 6522828
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| English | Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables |
scientific article; zbMATH DE number 6522828 |
Statements
Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables (English)
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21 December 2015
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Hamilton-Jacobi-Bellman equation
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jump-diffusion process
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exponential utility
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investment
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proportional reinsurance
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0.9133251905441284
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0.8963488936424255
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0.8887436985969543
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0.8805141448974609
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