Optimal reinsurance-investment with loss aversion under rough Heston model
Jingtang Ma, Zhengyang Lu and Dengsheng Chen
| Year of publication: |
2023
|
|---|---|
| Authors: | Ma, Jingtang ; Lu, Zhengyang ; Chen, Dengsheng |
| Subject: | Approximate solutions | Dual control | Monte-Carlo methods | Reinsurance-investment strategies | Rough Heston model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion |
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