Mean reflected BSDE driven by a marked point process and application in insurance risk management

DOI10.1051/COCV/2024040MaRDI QIDQ6582307zbMATH OpenFDO

Authors Yiqing Lin

Publication date 2 August 2024

Published in European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/COCV/2024040

zbMATH Keywords

BSDEs with mean reflectionmarked point processsuper-hedging with insurance re-payment

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(4)

• White noise-driven stochastic partial differential equations with mean reflection
• L^p-solutions of multi-dimensional BSDEs with mean reflection
• Propagation of chaos for mean-field reflected BSDEs with jumps
• Backward stochastic differential equations with central value reflection

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