OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET
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Publication:5369449
DOI10.1017/S1446181115000280zbMath1376.91101MaRDI QIDQ5369449
Chao Deng, Huiming Zhu, Ya Huang, Jie-Ming Zhou, Xiang-Qun Yang
Publication date: 17 October 2017
Published in: The ANZIAM Journal (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationproportional reinsuranceexponential utilityoptimal investment strategyjump-diffusion risk model
Related Items (2)
Unnamed Item ⋮ Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
Cites Work
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