Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wenyuan Wang, Dmitry Muravey, Yang Shen and Yan Zeng
| Year of publication: |
2023
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|---|---|
| Authors: | Wang, Wenyuan ; Muravey, Dmitry ; Shen, Yang ; Zeng, Yan |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2023.2023, 5, p. 413-449
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| Subject: | 4/2 stochastic volatility model | Lie symmetries | mean-variance optimization | parabolic partial differential equation | parametrix method | Reinsurance | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Rückversicherung | Analysis | Mathematical analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2022.2108335 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014336459