Optimal investment and reinsurance problem with jump-diffusion model (Q5079465)
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scientific article; zbMATH DE number 7532937
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and reinsurance problem with jump-diffusion model |
scientific article; zbMATH DE number 7532937 |
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Optimal investment and reinsurance problem with jump-diffusion model (English)
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27 May 2022
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excess-of-loss reinsurance
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investment
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constant elasticity of variance (CEV) model
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net profit
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Hamilton-Jacobi-Bellman (HJB) equation
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0.9805647
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0.97297144
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0.9528226
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0.9525809
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0.9516351
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0.94541013
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