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Optimal Quota-Share and Excess-of-Loss Reinsurance and Investment with Heston's Stochastic Volatility Model

YI Haoran SHU Huisheng SHAN Yuanchuang

东华大学学报（英文版）2023，Vol.40Issue(1)：59-67,9.

东华大学学报（英文版）2023，Vol.40Issue(1)：59-67,9.DOI:10.19884/j.1672-5220.202110002

Optimal Quota-Share and Excess-of-Loss Reinsurance and Investment with Heston's Stochastic Volatility Model

YI Haoran ¹SHU Huisheng ²SHAN Yuanchuang¹

作者信息

1. College of Information Science and Technology,Donghua University,Shanghai 201620,China
2. College of Science,Donghua University,Shanghai 201620,China
折叠

摘要

关键词

optimal reinsurance/optimal investment/quota-share and excess-of-loss reinsurance/stochastic volatility(SV)model/exponential utility function

Key words

optimal reinsurance/optimal investment/quota-share and excess-of-loss reinsurance/stochastic volatility(SV)model/exponential utility function

分类

数理科学

引用本文复制引用

YI Haoran,SHU Huisheng,SHAN Yuanchuang..Optimal Quota-Share and Excess-of-Loss Reinsurance and Investment with Heston's Stochastic Volatility Model[J].东华大学学报（英文版）,2023,40(1):59-67,9.

基金项目

National Natural Science Foundation of China(No.62073071) （No.62073071）

Fundamental Research Funds for the Central Universities and Graduate Student Innovation Fund of Donghua University,China(No.CUSF-DH-D-2021045) （No.CUSF-DH-D-2021045）

东华大学学报（英文版）

ISSN：1672-5220

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