Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Zhibin Liang, Junna Bi, Kam Chuen Yuen, Caibin Zhang
| Year of publication: |
August 2016
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| Authors: | Liang, Zhibin ; Bi, Junna ; Yuen, Kam Chuen ; Zhang, Caibin |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 84.2016, 1, p. 155-181
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| Subject: | Mean-variance criterion | Hamilton-Jacobi-Bellmann equation | Investment | Proportional reinsurance | Jump-diffusion process | Common shock | Theorie | Theory | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Schock | Shock | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-016-0538-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673473