OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE (Q5369466)
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scientific article; zbMATH DE number 6792331
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE |
scientific article; zbMATH DE number 6792331 |
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OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE (English)
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17 October 2017
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common shock component
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compound Poisson process
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stochastic linear-quadratic problem
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Hamilton-Jacobi-Bellman equation
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proportional reinsurance
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