Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
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Publication:5076896
DOI10.1080/03610926.2018.1490432OpenAlexW2908113906WikidataQ128656731 ScholiaQ128656731MaRDI QIDQ5076896
Hui Zhao, Suxin Wang, Xi-Min Rong
Publication date: 17 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1490432
Hamilton-Jacobi-Bellman equationviscosity solutiondefaultable bondinvestment and reinsurancemean-variance criterion
Related Items (3)
Non-exponential discounting portfolio management with habit formation ⋮ Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets
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