Optimal excess-of-loss reinsurance and investment polices under the CEV model
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Publication:2259036
DOI10.1007/s10479-014-1596-4zbMath1307.91099OpenAlexW2063236625MaRDI QIDQ2259036
Zhibing Liang, Meng-Di Gu, Qi-Cai Li
Publication date: 27 February 2015
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-014-1596-4
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Related Items (5)
Optimal investment and reinsurance problem with jump-diffusion model ⋮ Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ The investment and reinsurance game of insurers and reinsurers with default risk under CEV model ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
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