Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
DOI10.1007/s11009-018-9630-7zbMath1411.91281OpenAlexW2795717653MaRDI QIDQ1739353
Corina Constantinescu, Chang Guo, Olivier Menoukeu Pamen, Xiaoyang Zhuo
Publication date: 26 April 2019
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-018-9630-7
dynamic programming principleforeign exchange marketstochastic inflationoptimal reinsurance-investment strategyextended CIR
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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