Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case
In this paper, we study the optimal reinsurance and investment problem for a class of jump-diffusion model, where the diffusion term represents the additional claims (i.e. A-C case). The insurer can purchase proportional reinsurance while allowing she/he to invest in a risk-free asset and a risky as...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2019-09-01
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| Series: | Systems Science & Control Engineering |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/21642583.2019.1630685 |