Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
Year of publication: |
2022
|
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Authors: | Ceci, Claudia ; Colaneri, Katia ; Cretarola, Alessandra |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 105.2022, p. 252-278
|
Subject: | Optimal proportional reinsurance | Optimal investment | Common shock dependence | Environmental factors | Hamilton-Jacobi-Bellman equation | Theorie | Theory | Rückversicherung | Reinsurance | Schock | Shock | Investition | Investment |
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