Optimal investment and reinsurance problem with jump-diffusion model

DOI10.1080/03610926.2019.1646764OpenAlexW2966488729MaRDI QIDQ5079465

Huisheng Shu, Xiu Kan, Mengmeng Guo

Publication date: 27 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1646764

zbMATH Keywords

excess-of-loss reinsuranceinvestmentHamilton-Jacobi-Bellman (HJB) equationconstant elasticity of variance (CEV) modelnet profit

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
• Pricing power options with a generalized jump diffusion
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model

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