Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
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Publication:328530
DOI10.1007/s00186-016-0538-0zbMath1348.91165MaRDI QIDQ328530
Zhibin Liang, Caibin Zhang, 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
Hamilton-Jacobi-Bellman equation; investment; proportional reinsurance; mean-variance criterion; jump-diffusion process; common shock