Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model (Q2347109)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model |
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Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model (English)
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26 May 2015
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excess-of-loss reinsurance
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Heston's stochastic volatility model
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stochastic differential delay equation
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Hamilton-Jacobi-Bellman equation
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insurer
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