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

TitleOptimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
Authors
Liang, ZYuen, KCZhang, C
KeywordsCommon shock dependence
Exponential utility
Hamilton–Jacobi–Bellman equation
Investment/reinsurance
Jump-diffusion process
Issue Date2018
PublisherSpringer. The Journal's web site is located at http://www.springer.com/mathematics/computational+science+%26+engineering/journal/12190
Citation
Journal of Applied Mathematics and Computing, 2018, v. 56 n. 1-2, p. 637-664 How to Cite?
DOI: http://dx.doi.org/10.1007/s12190-017-1119-y
Persistent Identifierhttp://hdl.handle.net/10722/249693
ISSN
1598-5865
2022 Impact Factor: 2.2
2020 SCImago Journal Rankings: 0.450
ISI Accession Number ID
WOS:000426593500032

 

DC FieldValueLanguage
dc.contributor.authorLiang, Z-
dc.contributor.authorYuen, KC-
dc.contributor.authorZhang, C-
dc.date.accessioned2017-11-21T03:05:41Z-
dc.date.available2017-11-21T03:05:41Z-
dc.date.issued2018-
dc.identifier.citationJournal of Applied Mathematics and Computing, 2018, v. 56 n. 1-2, p. 637-664-
dc.identifier.issn1598-5865-
dc.identifier.urihttp://hdl.handle.net/10722/249693-
dc.languageeng-
dc.publisherSpringer. The Journal's web site is located at http://www.springer.com/mathematics/computational+science+%26+engineering/journal/12190-
dc.relation.ispartofJournal of Applied Mathematics and Computing-
dc.rightsThe final publication is available at Springer via http://dx.doi.org/10.1007/s12190-017-1119-y-
dc.subjectCommon shock dependence-
dc.subjectExponential utility-
dc.subjectHamilton–Jacobi–Bellman equation-
dc.subjectInvestment/reinsurance-
dc.subjectJump-diffusion process-
dc.titleOptimal 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.naturepostprint-
dc.identifier.doi10.1007/s12190-017-1119-y-
dc.identifier.scopuseid_2-s2.0-85020735576-
dc.identifier.hkuros283124-
dc.identifier.volume56-
dc.identifier.issue1-2-
dc.identifier.spage637-
dc.identifier.epage664-
dc.identifier.isiWOS:000426593500032-
dc.publisher.placeGermany-
dc.identifier.issnl1598-5865-

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