Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
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Publication:2015617
DOI10.1016/j.insmatheco.2013.08.004zbMath1290.91106OpenAlexW2011797827MaRDI QIDQ2015617
Yonggan Zhao, Hui Zhao, Xi-Min Rong
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.004
excess-of-loss reinsurancestochastic volatilityinvestmentHeston modelHamilton-Jacobi-Bellman (HJB) equationjump-diffusion risk model
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