Mean-Variance Investment and Per-Loss Reinsurance Strategies in Contagion Financial Markets
This paper investigates the optimal investment and reinsurance problem for insurers in a financial market with contagion risk. The prices of risky assets are assumed to follow a jump–diffusion model, where the jump component is driven by a multidimensional dynamic contagion process with diffusion (D...
Sábháilte in:
| Príomhchruthaitheoirí: | , |
|---|---|
| Formáid: | Artigo |
| Teanga: | Inglês |
| Foilsithe / Cruthaithe: |
MDPI AG
2026-03-01
|
| Sraith: | Axioms |
| Ábhair: | |
| Rochtain ar líne: | https://www.mdpi.com/2075-1680/15/3/206 |
| Clibeanna: |
Níl clibeanna ann, Bí ar an gcéad duine le clib a chur leis an taifead seo!
|