Optimal Investment and Reinsurance Under the Gamma Process
Author:
Funder
National Natural Science Foundation of China
Tianjin NSF
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-020-09795-w.pdf
Reference18 articles.
1. Abramowitz M, Stegun IA (1948) Handbook of mathematical functions with formulas, graphs, and mathematical tables, volume 55. US Government printing office
2. Applebaum D (2009) Lévy processes and stochastic calculus. Cambridge university press, Cambridge
3. Bai L, Guo J (2008) Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insur Math Econ 42(3):968–975
4. Bai L, Guo J (2010) Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection. Sci China Math 53(7):1787–1804
5. Browne S (1995) Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Math oper res 20(4):937–958
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