Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle (Q902317)
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scientific article; zbMATH DE number 6531560
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| English | Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle |
scientific article; zbMATH DE number 6531560 |
Statements
Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle (English)
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15 January 2016
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constant elasticity of variance
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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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reinsurance
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0.9234249591827391
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0.9184786677360536
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0.9111340641975404
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0.898058295249939
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0.8964419364929199
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