荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
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- 所属单位:School of Sciences
- 发表刊物:COMPUTATIONAL & APPLIED MATHEMATICS
- 刊物所在地:GERMANY
- 关键字:Optimal investment for a general insurance company; Weighted sum of wealth; Heston model; Jump-diffu
- 摘要:This paper focuses on the optimal management problem for a general insurance company which holds shares of an insurance company and a reinsurance company. The general company aims to maximize the expected exponential utility of the weighted sum of the insurance company's and the reinsurance company's terminal wealth. In our model, the risk process is assumed to follow a jump-diffusion risk model in which the surplus process is a compound Poisson risk process perturbed by a diffusion.
- 合写作者:Li Danping, Rong Ximin, ZHao Hui
- 第一作者:Li Danping
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Zhao Hui
- 论文编号:SCI: DQ0YZ
- 卷号:35
- 期号:2
- 页面范围:533-557
- ISSN号:0101-8205
- 是否译文:否