Mean reflected BSDE driven by a marked point process and application in insurance risk management

DOI10.1051/cocv/2024040zbMath1546.60093MaRDI QIDQ6582307

Unnamed Author, Yi-Qing Lin, Unnamed Author

Publication date: 2 August 2024

Published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

zbMATH Keywords

marked point processBSDEs with mean reflectionsuper-hedging with insurance re-payment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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