Optimal investment and reinsurance problem with jump-diffusion model
| Autor: | Huisheng Shu, Mengmeng Guo, Xiu Kan |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Reinsurance Net profit Class (computer programming) 021103 operations research Jump diffusion 0211 other engineering and technologies 02 engineering and technology Investment (macroeconomics) 01 natural sciences 010104 statistics & probability Risk model Econometrics 0101 mathematics Mathematics |
| Zdroj: | Communications in Statistics - Theory and Methods. 50:1082-1098 |
| ISSN: | 1532-415X 0361-0926 |
| DOI: | 10.1080/03610926.2019.1646764 |
| Popis: | In this paper, the optimal investment and reinsurance problem is investigated for a class of the jump-diffusion risk model. Here, the insurer can purchase excess-of-loss reinsurance and invest his ... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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