Reinsurance, investment and the rationality with a diffusion model approximating a jump model

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Communications in Statistics - Theory and Methods Pub Date : 2024-03-18 DOI:10.1080/03610926.2024.2328179

Duni Hu, Hailong Wang

引用次数: 0

Abstract

This article investigates the optimal excess-loss reinsurance, investment, and the rationality of using a diffusion model to approximate a jump model. We assume that the instantaneous rate of retur...

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本文研究了最优超额损失再保险、投资以及使用扩散模型近似跳跃模型的合理性。我们假定瞬时收益率为...

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来源期刊

Communications in Statistics - Theory and Methods 数学-统计学与概率论

CiteScore

2.00

自引率

12.50%

发文量

320

审稿时长

7.5 months

期刊介绍： The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.