Bayesian optimal investment and reinsurance with dependent financial and insurance risks

DOI10.1515/strm-2021-0029zbMath1496.91076arXiv2103.05777OpenAlexW4287326247MaRDI QIDQ2135611

Publication date: 9 May 2022

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.05777

zbMATH Keywords

learning stochastic control Bayesian model exponential utility dependence modeling Risk theory

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (1)

Optimal investment strategy for an insurer with partial information in capital and insurance markets

Cites Work

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