Optimal dynamic reinsurance strategies in multidimensional portfolio (Q4964407)
From MaRDI portal
scientific article; zbMATH DE number 7316859
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal dynamic reinsurance strategies in multidimensional portfolio |
scientific article; zbMATH DE number 7316859 |
Statements
Optimal dynamic reinsurance strategies in multidimensional portfolio (English)
0 references
2 March 2021
0 references
Cramer-Lundberg process
0 references
optimal reinsurance
0 references
Hamilton-Jacobi-Bellman equation
0 references
viscosity solution
0 references
dynamic programing principle
0 references
