Optimal investment and reinsurance problem with jump-diffusion model

被引：0
|
作者：
Guo, Mengmeng [1 ]
Kan, Xiu [2 ]
Shu, Huisheng [1 ]
机构：
[1] School of Science, Donghua University, Shanghai, China
[2] School of Electronic and Electrical Engineering, Shanghai University of Engineering Science, Shanghai, China
来源：
Communications in Statistics - Theory and Methods | 2021年 / 50卷 / 05期
关键词：
Constant elasticity of variances - Excess-of-loss reinsurance - Exponential utility - Hamilton-Jacobi-Bellman equations - Jump diffusion models - Net profits - Optimal investments - Stochastic control theory;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
14
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页码：1082 / 1098
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