Optimal reinsurance-investment with loss aversion under rough Heston model
Jingtang Ma, Zhengyang Lu and Dengsheng Chen
| Year of publication: |
2023
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|---|---|
| Authors: | Ma, Jingtang ; Lu, Zhengyang ; Chen, Dengsheng |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 1, p. 95-109
|
| Subject: | Approximate solutions | Dual control | Monte-Carlo methods | Reinsurance-investment strategies | Rough Heston model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2140308 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490957