FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3174041796> ?p ?o ?g. }

• W3174041796 endingPage "531" @default.
• W3174041796 startingPage "531" @default.
• W3174041796 abstract "<p style='text-indent:20px;'>We propose the stochastic factor model of optimal investment and reinsurance of insurers where the wealth processes are described by a bank account and a risk asset for investment and a Cramér-Lundberg process for reinsurance. The optimization is obtained through maximizing the exponential utility. Owing to the claims driven by a Poisson process, the proposed optimization problem is naturally treated as a jump-diffusion control problem. Applying the dynamic programming, we have the Hamilton-Jacobi-Bellman (HJB) equations and the corresponding explicit solution for the corresponding HJB. Hence, the optimal values and optimal strategies can be obtained. Finally, in numerical analysis, we illustrate the performance of the proposed optimization according to the results of the corresponding value function. In addition, compared to the wealth process without investment, the efficiency of the proposed optimization is discussed in terms of ruin probabilities.</p>" @default.
• W3174041796 created "2021-07-05" @default.
• W3174041796 creator A5007067467 @default.
• W3174041796 creator A5086109092 @default.
• W3174041796 date "2022-01-01" @default.
• W3174041796 modified "2023-10-10" @default.
• W3174041796 title "Optimal investment and reinsurance of insurers with lognormal stochastic factor model" @default.
• W3174041796 cites W1499037879 @default.
• W3174041796 cites W1598117570 @default.
• W3174041796 cites W161655163 @default.
• W3174041796 cites W1758966433 @default.
• W3174041796 cites W1964979118 @default.
• W3174041796 cites W1967453651 @default.
• W3174041796 cites W1978721202 @default.
• W3174041796 cites W1986973742 @default.
• W3174041796 cites W1993881776 @default.
• W3174041796 cites W2011797827 @default.
• W3174041796 cites W2023490476 @default.
• W3174041796 cites W2027895939 @default.
• W3174041796 cites W2030371238 @default.
• W3174041796 cites W2037371179 @default.
• W3174041796 cites W2047892240 @default.
• W3174041796 cites W2050477100 @default.
• W3174041796 cites W2051297842 @default.
• W3174041796 cites W2068545243 @default.
• W3174041796 cites W2070227856 @default.
• W3174041796 cites W2071292843 @default.
• W3174041796 cites W2087292112 @default.
• W3174041796 cites W2118573305 @default.
• W3174041796 cites W2161078437 @default.
• W3174041796 cites W2218274622 @default.
• W3174041796 cites W2299522835 @default.
• W3174041796 cites W2591756540 @default.
• W3174041796 cites W2606495118 @default.
• W3174041796 cites W2735168388 @default.
• W3174041796 cites W2748593462 @default.
• W3174041796 cites W2796329978 @default.
• W3174041796 cites W4242317941 @default.
• W3174041796 doi "https://doi.org/10.3934/mcrf.2021033" @default.
• W3174041796 hasPublicationYear "2022" @default.
• W3174041796 type Work @default.
• W3174041796 sameAs 3174041796 @default.
• W3174041796 citedByCount "3" @default.
• W3174041796 countsByYear W31740417962022 @default.
• W3174041796 crossrefType "journal-article" @default.
• W3174041796 hasAuthorship W3174041796A5007067467 @default.
• W3174041796 hasAuthorship W3174041796A5086109092 @default.
• W3174041796 hasBestOaLocation W31740417961 @default.
• W3174041796 hasConcept C100906024 @default.
• W3174041796 hasConcept C10138342 @default.
• W3174041796 hasConcept C103144560 @default.
• W3174041796 hasConcept C105795698 @default.
• W3174041796 hasConcept C121332964 @default.
• W3174041796 hasConcept C126255220 @default.
• W3174041796 hasConcept C133338972 @default.
• W3174041796 hasConcept C134306372 @default.
• W3174041796 hasConcept C137836250 @default.
• W3174041796 hasConcept C14646407 @default.
• W3174041796 hasConcept C151376022 @default.
• W3174041796 hasConcept C162118730 @default.
• W3174041796 hasConcept C162324750 @default.
• W3174041796 hasConcept C166144826 @default.
• W3174041796 hasConcept C166970017 @default.
• W3174041796 hasConcept C170131372 @default.
• W3174041796 hasConcept C17744445 @default.
• W3174041796 hasConcept C183582576 @default.
• W3174041796 hasConcept C196978813 @default.
• W3174041796 hasConcept C199539241 @default.
• W3174041796 hasConcept C27548731 @default.
• W3174041796 hasConcept C2779664328 @default.
• W3174041796 hasConcept C2780695682 @default.
• W3174041796 hasConcept C33923547 @default.
• W3174041796 hasConcept C37404715 @default.
• W3174041796 hasConcept C41008148 @default.
• W3174041796 hasConcept C62520636 @default.
• W3174041796 hasConcept C91575142 @default.
• W3174041796 hasConcept C94625758 @default.
• W3174041796 hasConceptScore W3174041796C100906024 @default.
• W3174041796 hasConceptScore W3174041796C10138342 @default.
• W3174041796 hasConceptScore W3174041796C103144560 @default.
• W3174041796 hasConceptScore W3174041796C105795698 @default.
• W3174041796 hasConceptScore W3174041796C121332964 @default.
• W3174041796 hasConceptScore W3174041796C126255220 @default.
• W3174041796 hasConceptScore W3174041796C133338972 @default.
• W3174041796 hasConceptScore W3174041796C134306372 @default.
• W3174041796 hasConceptScore W3174041796C137836250 @default.
• W3174041796 hasConceptScore W3174041796C14646407 @default.
• W3174041796 hasConceptScore W3174041796C151376022 @default.
• W3174041796 hasConceptScore W3174041796C162118730 @default.
• W3174041796 hasConceptScore W3174041796C162324750 @default.
• W3174041796 hasConceptScore W3174041796C166144826 @default.
• W3174041796 hasConceptScore W3174041796C166970017 @default.
• W3174041796 hasConceptScore W3174041796C170131372 @default.
• W3174041796 hasConceptScore W3174041796C17744445 @default.
• W3174041796 hasConceptScore W3174041796C183582576 @default.
• W3174041796 hasConceptScore W3174041796C196978813 @default.
• W3174041796 hasConceptScore W3174041796C199539241 @default.
• W3174041796 hasConceptScore W3174041796C27548731 @default.

• next