Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
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Publication:1639554
DOI10.1016/J.CAM.2018.03.035zbMATH Open1422.91320OpenAlexW2800437156WikidataQ129899900 ScholiaQ129899900MaRDI QIDQ1639554FDOQ1639554
Authors: Yongzeng Lai, Yi Shao, Chun-Xiang A 
Publication date: 13 June 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.03.035
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stochastic optimal controlconstant elasticity of variance modelstochastic differential delay equationexcess-of-loss reinsurance
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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