Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
type: Item
instance of: scholarly article
title: Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
zbMATH Open document ID: 1410.91273
author: Zhibin Liang
author: Caibin Zhang
author: Kam Chuen Yuen
published in: Journal of Applied Mathematics and Computing
publication date: 2018-04-13T00:00:00Z
full work available at URL: http://hdl.handle.net/10722/249693
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6859503
zbMATH Keywords: exponential utility
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: common shock dependence
zbMATH Keywords: investment/reinsurance
zbMATH Keywords: jump-diffusion process
MaRDI profile type: Publication
OpenAlex ID: W2740401765
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DOI: 10.1007/S12190-017-1119-Y
description: scientific article; zbMATH DE number 6859503