Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

DOI10.1007/s00186-016-0538-0zbMath1348.91165OpenAlexW2334886797MaRDI QIDQ328530

Caibin Zhang, Zhibin Liang, Jun-na Bi, Kam-Chuen Yuen

Publication date: 20 October 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-016-0538-0

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinvestmentproportional reinsurancemean-variance criterionjump-diffusion processcommon shock

Mathematics Subject Classification ID

Related Items (26)

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