Optimal time-consistent reinsurance and investment strategies for a jump-diffusion financial market without cash
Caibin Zhang, Zhibin Liang
| Year of publication: |
2022
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|---|---|
| Authors: | Zhang, Caibin ; Liang, Zhibin |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 59.2022, p. 1-17
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| Subject: | Hamilton-Jacobi-Bellman equation | Jump-diffusion process | Reinsurance and investment | Time-consistent strategy | Without cash | Theorie | Theory | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101578 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013413423