Computation of distorted probabilities for diffusion processes via stochastic control methods.

DOI10.1016/S0167-6687(99)00061-XzbMath1103.65305MaRDI QIDQ1584581

Thaleia Zariphopoulou, Virginia R. Young

Publication date: 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Stochastic controlViscosity solutionsStochastic differential gamesBranching diffusionsDistorted survival probability functionsKilling diffusionsRisk diffusion processes

Mathematics Subject Classification ID

Related Items (3)

Value at risk methodology under soft conditions approach (fuzzy-stochastic approach) ⋮ Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity

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