Optimal reinsurance-investment strategy for a dynamic contagion claim model
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Publication:784437
DOI10.1016/J.INSMATHECO.2020.04.013zbMath1446.91056OpenAlexW3025106089MaRDI QIDQ784437
Jingyi Cao, David Landriault, Bin Li
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.013
dynamic contagion claimsexternally-exciting effectreinsurance-investment problemself-exciting effecttime-consistent mean-variance criterion
Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)
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