Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model

By Hui Zhao, X. Rong, Yonggan Zhao. 2013

104 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/eba3f747bde838814980e9a2ab1732a11e63ddf6

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. Pei Wang
2. Zhongfei Li
3. Yan Zeng

In Economics and Econometrics

1. Pei Wang
2. Zhongfei Li
3. Yan Zeng

In Finance

1. Pei Wang
2. Zhongfei Li
3. Yan Zeng

Citations in the corpus

• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, methodology): “All rights reserved. et al. (2012), Zhao et al. (2013) and Li et al. (2016) all adopt the Heston’s SV model to describe the stock price and obtain the optimal investment and reinsurance strategy under mean– variance criterion or the criterion of utility maximization.”