Optimal investment and excess of loss reinsurance with short-selling constraint
type: Item
instance of: scholarly article
title: Optimal investment and excess of loss reinsurance with short-selling constraint
zbMATH Open document ID: 1302.62225
author: Sheng Liu
author: Jingxiao Zhang
published in: Acta Mathematicae Applicatae Sinica. English Series
publication date: 2014-11-27T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6374524
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: jump-diffusion process
zbMATH Keywords: short-selling constraint
zbMATH Keywords: XL reinsurance
MaRDI profile type: Publication
full work available at URL: s10255-011-0089-3
OpenAlex ID: W2162654080
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DOI: 10.1007/S10255-011-0089-3
description: scientific article; zbMATH DE number 6374524