On optimal proportional reinsurance and investment in a hidden Markov financial market (Q523747)
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scientific article; zbMATH DE number 6707200
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On optimal proportional reinsurance and investment in a hidden Markov financial market |
scientific article; zbMATH DE number 6707200 |
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On optimal proportional reinsurance and investment in a hidden Markov financial market (English)
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21 April 2017
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hidden Markov chain
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exponential utility
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Girsanov change of measure
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dynamic programming
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