Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
Chunxiang A; Zhongfei Li
| Year of publication: |
2015
|
|---|---|
| Authors: | A, Chunxiang ; Li, Zhongfei |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 181-196
|
| Subject: | Excess-of-loss reinsurance | Heston’s stochastic volatility model | Stochastic differential delay equation | Hamilton-Jacobi-Bellman equation | Insurer | Stochastischer Prozess | Stochastic process | Rückversicherung | Reinsurance | Risikomodell | Risk model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | 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/10010515891