{"title":"Reinsurance, investment and the rationality with a diffusion model approximating a jump model","authors":"Duni Hu, Hailong Wang","doi":"10.1080/03610926.2024.2328179","DOIUrl":null,"url":null,"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...","PeriodicalId":10531,"journal":{"name":"Communications in Statistics - Theory and Methods","volume":"149 1","pages":""},"PeriodicalIF":0.6000,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications in Statistics - Theory and Methods","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610926.2024.2328179","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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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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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.
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