Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
type: Item
instance of: scholarly article
title: Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
zbMATH Open document ID: 1422.91320
author: Yongzeng Lai
author: Yi Shao
author: Chun-Xiang A
published in: Journal of Computational and Applied Mathematics
publication date: 2018-06-13T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6887291
zbMATH Keywords: excess-of-loss reinsurance
zbMATH Keywords: constant elasticity of variance model
zbMATH Keywords: stochastic differential delay equation
zbMATH Keywords: stochastic optimal control
MaRDI profile type: Publication
full work available at URL: j.cam.2018.03.035
OpenAlex ID: W2800437156
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Wikidata QID: Q129899900
DOI: 10.1016/J.CAM.2018.03.035
description: scientific article; zbMATH DE number 6887291