Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles (Q5380970)
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scientific article; zbMATH DE number 7063731
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles |
scientific article; zbMATH DE number 7063731 |
Statements
Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles (English)
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7 June 2019
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dependent risk
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HJB equation
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optimal investment-reinsurance
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exponential utility
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compound Poisson process
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Brownian motion diffusion risk model
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