Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
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Publication:1983760
DOI10.3934/jimo.2020062zbMath1476.91136OpenAlexW3012829173MaRDI QIDQ1983760
Yan Zhang, Xinghu Teng, Lei Mao, Peibiao Zhao
Publication date: 10 September 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020062
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
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