Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (Q517215)
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scientific article; zbMATH DE number 6696581
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching |
scientific article; zbMATH DE number 6696581 |
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Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (English)
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23 March 2017
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investment
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reinsurance
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hidden Markov chain
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convex risk measure
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backward stochastic differential equation
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