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- Publisher Website: 10.1007/s00186-016-0538-0
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Article: Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Title | Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence |
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Authors | |
Keywords | Common shock Hamilton–Jacobi–Bellman equation Investment Jump-diffusion process Mean–variance criterion Proportional reinsurance |
Issue Date | 2016 |
Publisher | Springer. The Journal's web site is located at http://www.springer.com/mathematics/journal/186 |
Citation | Methematical Methods of Operations Research, 2016, v. 84 n. 1, p. 155-181 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/226418 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.535 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Liang, Z | - |
dc.contributor.author | Bi, J | - |
dc.contributor.author | Yuen, KC | - |
dc.contributor.author | Zhang, C | - |
dc.date.accessioned | 2016-06-17T07:44:03Z | - |
dc.date.available | 2016-06-17T07:44:03Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Methematical Methods of Operations Research, 2016, v. 84 n. 1, p. 155-181 | - |
dc.identifier.issn | 1432-2994 | - |
dc.identifier.uri | http://hdl.handle.net/10722/226418 | - |
dc.language | eng | - |
dc.publisher | Springer. The Journal's web site is located at http://www.springer.com/mathematics/journal/186 | - |
dc.relation.ispartof | Methematical Methods of Operations Research | - |
dc.subject | Common shock | - |
dc.subject | Hamilton–Jacobi–Bellman equation | - |
dc.subject | Investment | - |
dc.subject | Jump-diffusion process | - |
dc.subject | Mean–variance criterion | - |
dc.subject | Proportional reinsurance | - |
dc.title | Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s00186-016-0538-0 | - |
dc.identifier.scopus | eid_2-s2.0-84962758500 | - |
dc.identifier.hkuros | 258679 | - |
dc.identifier.volume | 84 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 155 | - |
dc.identifier.epage | 181 | - |
dc.identifier.isi | WOS:000385013600007 | - |
dc.publisher.place | Germany | - |
dc.identifier.issnl | 1432-2994 | - |