Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
type: Item
instance of: scholarly article
title: Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
zbMATH Open document ID: 1371.91099
author: Danping Li
author: Ximin Rong
author: Hui Zhao
published in: Computational and Applied Mathematics
publication date: 2017-08-08T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6758781
zbMATH Keywords: jump-diffusion risk model
zbMATH Keywords: optimal investment
zbMATH Keywords: Heston model
zbMATH Keywords: stochastic control
MaRDI profile type: Publication
full work available at URL: s40314-014-0204-1
OpenAlex ID: W2022723131
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DOI: 10.1007/S40314-014-0204-1
description: scientific article; zbMATH DE number 6758781