Closed-Loop Equilibrium Reinsurance-Investment Strategy with Insider Information and Default Risk
This paper studies the closed-loop equilibrium reinsurance-investment problem with insider information and default risk. The financial market consists of one risky asset, one defaultable bond, and one risk-free asset. The surplus process is governed by a jump-diffusion process. Two kinds of dependen...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2021-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2021/8873473 |