Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model

By Xiang Lin, Yanfang Li. 2011

94 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a53dd38fe15a9c0ec96f842cb9e6a4594f36a15e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Xiang Lin
2. Yiping Qian

In Economics and Econometrics

1. Xiang Lin
2. Yiping Qian

In Finance

1. Xiang Lin
2. Yiping Qian

Citations in the corpus

• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Lin & Li (2011) obtained an optimal reinsurance-investment strategy that maximize the expected exponential utility of the terminal wealth for an insurer whose surplus process follows a jump-diffusion model, where the price process of the risky stock evolves over time according to a constant…”