Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
type: Item
instance of: scholarly article
title: Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
zbMATH Open document ID: 1476.91136
author: Yan Zhang
author: Peibiao Zhao
author: Xinghu Teng
author: Lei Mao
published in: Journal of Industrial and Management Optimization
publication date: 2021-09-10T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7394181
zbMATH Keywords: investment
zbMATH Keywords: reinsurance
zbMATH Keywords: HARA utility
zbMATH Keywords: Legendre transform
zbMATH Keywords: Heston's SV model
MaRDI profile type: Publication
full work available at URL: jimo.2020062
OpenAlex ID: W3012829173
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DOI: 10.3934/JIMO.2020062
description: scientific article; zbMATH DE number 7394181