Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (Q1641145)
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scientific article; zbMATH DE number 6889950
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing |
scientific article; zbMATH DE number 6889950 |
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Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (English)
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15 June 2018
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proportional reinsurance
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robust control
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optimal investment strategy
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utility function
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mispricing
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0.96137536
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0.9612268
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0.95835805
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0.94421583
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0.9440768
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0.94109595
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0.94107795
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0.93698084
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0.9369343
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