Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (Q2097469)
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scientific article; zbMATH DE number 7616032
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer |
scientific article; zbMATH DE number 7616032 |
Statements
Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (English)
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14 November 2022
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pairs trading
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reinsurance
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Hamilton-Jacobi-Bellman equation
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Ornstein-Uhlenbeck process
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exponential utility
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