Optimal reinsurance and investment problem in a defaultable market
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Publication:4563472
DOI10.1080/03610926.2017.1321772zbMath1390.91200OpenAlexW2608871375MaRDI QIDQ4563472
George Xianzhi Yuan, Jianjing Ma, Guo-jing Wang
Publication date: 1 June 2018
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2017.1321772
Hamilton-Jacobi-Bellman equationCEV processjump-diffusion processreinsurance and investmentdefaultable security
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Related Items (3)
Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market ⋮ Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
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