Optimal investment-reinsurance with dynamic risk constraint and regime switching (Q2868609)
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scientific article; zbMATH DE number 6239148
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment-reinsurance with dynamic risk constraint and regime switching |
scientific article; zbMATH DE number 6239148 |
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Optimal investment-reinsurance with dynamic risk constraint and regime switching (English)
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17 December 2013
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optimal reinsurance
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investment
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regime-switching
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utility maximization
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dynamic programming
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maximal conditional value at risk
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regime-switching Hamilton-Jacobi-Bellman equations
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