Optimal mean–variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

Volume: 84, Issue: 1, Pages: 155 - 181
Published: Apr 6, 2016
Abstract
In this paper, we study the optimal reinsurance-investment problems in a financial market with jump-diffusion risky asset, where the insurance risk model is modulated by a compound Poisson process, and the two jump number processes are correlated by a common shock. Moreover, we remove the assumption of nonnegativity on the expected value of the jump size in the stock market, which is more economic reasonable since the jump sizes are always...
Paper Details
Title
Optimal mean–variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Published Date
Apr 6, 2016
Volume
84
Issue
1
Pages
155 - 181
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