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~person:"Zhang, Chunhong"
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Diffusion approximation
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Jump-diffusion risk process
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Leader-follower games
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Optimal portfolio
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Stochastic differential game
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Zhang, Chunhong
Young, Virginia R.
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Sviščuk, Anatolij
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Computational Statistics
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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang
;
Zhang, Chunhong
;
Siu, Tak
- In:
Mathematical Methods of Operations Research
75
(
2012
)
1
,
pp. 83-100
-diffusion risk process and its
diffusion
approximation
for the case of an exponential utility. Copyright Springer-Verlag 2012 …
Persistent link: https://www.econbiz.de/10010999992
Saved in:
2
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang
;
Zhang, Chunhong
;
Siu, Tak
- In:
Computational Statistics
75
(
2012
)
1
,
pp. 83-100
-diffusion risk process and its
diffusion
approximation
for the case of an exponential utility. Copyright Springer-Verlag 2012 …
Persistent link: https://www.econbiz.de/10010759576
Saved in:
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