Optimal insurance pricing, reinsurance, and investment for a jump diffusion risk process under a competitive market
Year of publication: |
2017
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Authors: | Mao, Hong ; Carson, James M. ; Ostaszewski, Krzysztof M. |
Published in: |
The journal of insurance issues : official journal of the Western Risk and Insurance Association. - [Erscheinungsort nicht ermittelbar] : [Verlag nicht ermittelbar], ISSN 1531-6076, ZDB-ID 2094292-8. - Vol. 40.2017, 1, p. 90-124
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Subject: | stochastic dynamic optimization | insurance demand | insurance price | investment portfolio | jump diffusion | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Rückversicherung | Reinsurance | Versicherungsökonomik | Economics of insurance | Risikomodell | Risk model | Versicherung | Insurance |
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