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Published in 2017 at "Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis"
DOI: 10.11118/actaun201765051671
Abstract: The problem of price fluctuation is crucial to the concept of financial engineering nowadays. The aim of this paper is twofold; first to investigate the leverage effect of the main agricultural commodities – wheat and…
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Keywords:
stochastic volatility;
volatility;
market;
cev model ... See more keywords
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1
Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/4696941
Abstract: In this paper, the problem of nonzero-sum stochastic differential game between two competing insurance companies is considered, i.e., the relative performance concerns. A certain proportion of reinsurance can be taken out by each insurer to…
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Keywords:
game two;
cev model;
reinsurance investment;