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：

引用

页码：1082 / 1098

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