Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (Q282274)
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scientific article; zbMATH DE number 6579582
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model |
scientific article; zbMATH DE number 6579582 |
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Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (English)
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12 May 2016
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robust control
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Hamilton-Jacobi-Bellman-Isaacs equation
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exponential utility
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constant elasticity of variance
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Cramér-Lundberg risk model
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