Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
Hui Zhao; Ximin Rong; Yonggan Zhao
| Year of publication: |
2013
|
|---|---|
| Authors: | Zhao, Hui ; Rong, Ximin ; Zhao, Yonggan |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 504-514
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| Subject: | Excess-of-loss reinsurance | Heston model | Jump-diffusion risk model | Hamilton-Jacobi-Bellman (HJB) equation | Investment | Stochastic volatility | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model | Rückversicherung | Reinsurance | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Versicherung | Insurance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010227974