Optimal reinsurance-investment strategy for a dynamic contagion claim model
type: Item
instance of: scholarly article
title: Optimal reinsurance-investment strategy for a dynamic contagion claim model
zbMATH Open document ID: 1446.91056
author: Jingyi Cao
author: David Landriault
author: Bin Li
published in: Insurance Mathematics \& Economics
publication date: 2020-08-03T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G45
zbMATH DE Number: 7226838
zbMATH Keywords: reinsurance-investment problem
zbMATH Keywords: dynamic contagion claims
zbMATH Keywords: self-exciting effect
zbMATH Keywords: externally-exciting effect
zbMATH Keywords: time-consistent mean-variance criterion
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2020.04.013
OpenAlex ID: W3025106089
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DOI: 10.1016/J.INSMATHECO.2020.04.013
description: scientific article; zbMATH DE number 7226838