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湖南大学 [3]
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期刊论文 [8]
学位论文 [1]
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Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
期刊论文
Science China(Mathematics), 2017, 卷号: 第60卷, 页码: P317-344
作者:
Zhao Hui1
;
Weng Chengguo2
;
Shen Yang3
;
Zeng Yan4
;
*
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2019/11/26
investment-reinsurance problem/mean-variance analysis/time-consistent strategy/constant elasticity of variance model
Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
期刊论文
Acta Mathematica Scientia, 2015, 卷号: Vol.35 No.2, 页码: 303-312
作者:
Zhou, JM
;
Deng, YC
;
Huang, Y
;
Yang, XQ
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2019/12/31
Constant elasticity of variance
Hamilton-Jacobi-Bellman equation
jump-diffusion process
exponential utility
reinsurance
OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT FOR A CONSTANT ELASTICITY OF VARIANCE MODEL UNDER VARIANCE PRINCIPLE
期刊论文
数学物理学报(英文版), 2015, 卷号: No.2, 页码: 303-312
-
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2019/12/31
Constant
elasticity
of
variance
Hamilton-Jacobi-Bellman
equation
jump-diffusion
process
exponential
utility
reinsurance
Warrant pricing: B-S vs. CEV.
期刊论文
Xitong Gongcheng Lilun yu Shijian (Systems Engineering Theory and Practice), 2013, 卷号: Vol.33 No.5, 页码: 1126-1134
作者:
Wu, Xin-Yu
;
Zhou, Hai-Lin
;
Wang, Shou-Yang
;
Ma, Chao-Qun
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2020/01/05
Black-Scholes model
constant elasticity of variance model
least-squares Monte Carlo method
maximum likelihood method
warrant pricing
交易成本/交易限制下的期权定价
学位论文
2008, 2008
秦洪元
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2016/02/14
期权定价
交易成本
效用无差异
投资组合约束
option pricing
transaction cost
utility indifference
portfolio constraints
The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2007, 卷号: 40, 页码: 302-310
作者:
Xiao, Jianwu[1]
;
Hong, Zhai[2]
;
Qin, Chenglin[3]
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2019/05/10
defined-contribution pension plan
stochastic optimal control
CEV model
Legendre transform
optimal investment strategy
The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
期刊论文
Insurance: Mathematics and Economics, 2007, 卷号: 40, 期号: 2, 页码: 302-310
作者:
Xiao, Jianwu*
;
Hong, Zhai
;
Qin, Chenglin
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/12/28
IE13
G23
Defined-contribution pension plan
Stochastic optimal control
CEV model
Legendre transform
Optimal investment strategy
Constant elasticity of variance model and analytical strategies for annuity contracts
期刊论文
APPLIED MATHEMATICS AND MECHANICS-ENGLISH EDITION, 2006, 卷号: 27, 页码: 1499-1506
作者:
Xiao Jian-wu[1]
;
Yin Shao-hua[2]
;
Qin Cheng-lin[3]
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/05/10
defined contribution pension plan
stochastic optimal control
CEV model
Legendre transform
analytical strategy
Constant elasticity of variance model and analytical strategies for annuity contracts
期刊论文
Applied Mathematics and Mechanics (English Edition), 2006, 卷号: 27, 期号: 11, 页码: 1499-1506
作者:
Xiao Jian-wu*
;
Yin Shao-hua
;
Qin Cheng-lin
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2019/12/28
defined contribution pension plan
stochastic optimal control
CEV model
Legendre transform
analytical strategy
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