Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
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Publication:6099190
DOI10.3934/mcrf.2022030zbMath1518.91228MaRDI QIDQ6099190
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Publication date: 19 June 2023
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
mean-variance criterionexternally-exciting effectreinsurance-investment problemself-exciting effectgeneralized dynamic contagion claims
Actuarial mathematics (91G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
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