Optimal reinsurance and investment problem in a defaultable market (Q4563472)
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scientific article; zbMATH DE number 6879784
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance and investment problem in a defaultable market |
scientific article; zbMATH DE number 6879784 |
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Optimal reinsurance and investment problem in a defaultable market (English)
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1 June 2018
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CEV process
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defaultable security
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Hamilton-Jacobi-Bellman equation
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jump-diffusion process
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reinsurance and investment
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