Optimal investment strategies for participating contracts
From MaRDI portal
Publication:1681198
DOI10.1016/j.insmatheco.2017.02.001zbMath1416.91205OpenAlexW2586559039MaRDI QIDQ1681198
David Saunders, Hongcan Lin, Chengguo Weng
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.001
stochastic controlutility maximizationconcavification techniquemartingale and dual approachparticipating contract
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