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Article: Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

TitleOptimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Authors
Liang, ZBi, JYuen, KCZhang, C
KeywordsCommon shock
Hamilton–Jacobi–Bellman equation
Investment
Jump-diffusion process
Mean–variance criterion
Proportional reinsurance
Issue Date2016
PublisherSpringer. The Journal's web site is located at http://www.springer.com/mathematics/journal/186
Citation
Methematical Methods of Operations Research, 2016, v. 84 n. 1, p. 155-181 How to Cite?
DOI: http://dx.doi.org/10.1007/s00186-016-0538-0
Persistent Identifierhttp://hdl.handle.net/10722/226418
ISSN
1432-2994
2021 Impact Factor: 1.337
2020 SCImago Journal Rankings: 0.524
ISI Accession Number ID
WOS:000385013600007

 

DC FieldValueLanguage
dc.contributor.authorLiang, Z-
dc.contributor.authorBi, J-
dc.contributor.authorYuen, KC-
dc.contributor.authorZhang, C-
dc.date.accessioned2016-06-17T07:44:03Z-
dc.date.available2016-06-17T07:44:03Z-
dc.date.issued2016-
dc.identifier.citationMethematical Methods of Operations Research, 2016, v. 84 n. 1, p. 155-181-
dc.identifier.issn1432-2994-
dc.identifier.urihttp://hdl.handle.net/10722/226418-
dc.languageeng-
dc.publisherSpringer. The Journal's web site is located at http://www.springer.com/mathematics/journal/186-
dc.relation.ispartofMethematical Methods of Operations Research-
dc.subjectCommon shock-
dc.subjectHamilton–Jacobi–Bellman equation-
dc.subjectInvestment-
dc.subjectJump-diffusion process-
dc.subjectMean–variance criterion-
dc.subjectProportional reinsurance-
dc.titleOptimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s00186-016-0538-0-
dc.identifier.scopuseid_2-s2.0-84962758500-
dc.identifier.hkuros258679-
dc.identifier.volume84-
dc.identifier.issue1-
dc.identifier.spage155-
dc.identifier.epage181-
dc.identifier.isiWOS:000385013600007-
dc.publisher.placeGermany-
dc.identifier.issnl1432-2994-

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