Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model

DOI10.1007/s40314-014-0204-1zbMath1371.91099OpenAlexW2022723131MaRDI QIDQ2013623

Danping Li, Xi-Min Rong, Hui Zhao

Publication date: 8 August 2017

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-014-0204-1

zbMATH Keywords

stochastic controlHeston modeloptimal investmentjump-diffusion risk model

Mathematics Subject Classification ID

Related Items (14)

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