Optimal investment-reinsurance policy for an insurance company with VaR constraint (Q661229)
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scientific article; zbMATH DE number 6004742
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment-reinsurance policy for an insurance company with VaR constraint |
scientific article; zbMATH DE number 6004742 |
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Optimal investment-reinsurance policy for an insurance company with VaR constraint (English)
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10 February 2012
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investment
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reinsurance
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ruin probability
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value-at-risk
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HJB equation
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Lagrangian method
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