Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
type: Item
instance of: scholarly article
title: Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
zbMATH Open document ID: 1290.91106
author: Hui Zhao
author: Ximin Rong
author: Yonggan Zhao
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6306895
zbMATH Keywords: excess-of-loss reinsurance
zbMATH Keywords: Heston model
zbMATH Keywords: jump-diffusion risk model
zbMATH Keywords: Hamilton-Jacobi-Bellman (HJB) equation
zbMATH Keywords: investment
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.08.004
OpenAlex ID: W2011797827
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DOI: 10.1016/J.INSMATHECO.2013.08.004
description: scientific article; zbMATH DE number 6306895