Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
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Publication:5414522
DOI10.1002/asmb.934zbMath1286.91068MaRDI QIDQ5414522
Zhibin Liang, Ka Chun Cheung, Kam-Chuen Yuen
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.934
60J60: Diffusion processes
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
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