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Robust investment-reinsurance optimization with multiscale stochastic volatility (Q2347077)

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Robust investment-reinsurance optimization with multiscale stochastic volatility
scientific article

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    title
    Robust investment-reinsurance optimization with multiscale stochastic volatility (English)
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    author
    Chi Seng Pun
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    Hoi Ying Wong
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    publication date
    26 May 2015
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    zbMATH DE Number
    6439985
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    zbMATH Keywords
    investment and reinsurance
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    mixture of power utilities
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    Hamilton-Jacobi-Bellman-Isaacs equation
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    multiscale stochastic volatility
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    perturbation methods
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    Wikidata QID
    Q58980839
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    OpenAlex ID
    W1976890032
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