Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process (Q5213096)
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scientific article; zbMATH DE number 7161335
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 7161335 |
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31 January 2020
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robust optimal control
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jump-diffusion process
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Ornstein-Uhlenbeck process
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Hamilton-Jacobi-Bellman-Isaacs equation
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Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process (English)
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