Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model.
A. ChunxiangYongzeng LaiYi ShaoPublished in: J. Comput. Appl. Math. (2018)
Keyphrases
- computational model
- cost function
- neural network
- conceptual model
- statistical model
- process model
- probabilistic model
- genetic algorithm
- risk assessment
- formal model
- dynamic programming
- objective function
- high level
- decision making
- optimal solution
- utility function
- diffusion process
- poisson process
- conditional expectation