Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023)
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scientific article; zbMATH DE number 7698363
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal reinsurance-investment with loss aversion under rough Heston model |
scientific article; zbMATH DE number 7698363 |
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Optimal reinsurance-investment with loss aversion under rough Heston model (English)
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20 June 2023
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reinsurance-investment strategies
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rough Heston model
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approximate solutions
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dual control
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Monte Carlo methods
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