A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment

DOI10.3934/puqr.2023023MaRDI QIDQ6149349

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Publication date: 5 February 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

perturbation methoddefaultable bondinvestment and reinsurancesmooth ambiguity utilityHeston local-stochastic volatility model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Actuarial mathematics (91G05)

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