Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients (Q6621503)
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scientific article; zbMATH DE number 7928756
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients |
scientific article; zbMATH DE number 7928756 |
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Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients (English)
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18 October 2024
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mean-variance investment-reinsurance
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convex cone constraints
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random coefficients
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partially coupled stochastic Riccati equations
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backward stochastic differential equations with jumps
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