Optimal investment and reinsurance of an insurer with model uncertainty (Q659098)
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scientific article; zbMATH DE number 6004621
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment and reinsurance of an insurer with model uncertainty |
scientific article; zbMATH DE number 6004621 |
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Optimal investment and reinsurance of an insurer with model uncertainty (English)
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10 February 2012
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optimal investment
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proportional reinsurance
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model uncertainty
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stochastic differential game
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exponential utility
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penalty of ruin
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HJBI equations
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