Optimal reinsurance and investment problem for an insurer with counterparty risk
Huiming Zhu; Chao Deng; Shengjie Yue; Yingchun Deng
| Year of publication: |
2015
|
|---|---|
| Authors: | Zhu, Huiming ; Deng, Chao ; Yue, Shengjie ; Deng, Yingchun |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 242-254
|
| Subject: | Optimal reinsurance | Optimal investment | Default risk | Hamilton-Jacobi-Bellman equation | Heston model | Rückversicherung | Reinsurance | Theorie | Theory | Kreditrisiko | Credit risk | Risikomodell | Risk model | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process | 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/10010515877