Continuous-time optimal reinsurance strategy with nontrivial curved structures
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Publication:2286107
DOI10.1016/j.amc.2019.124585zbMath1433.91141OpenAlexW2963838322WikidataQ127453459 ScholiaQ127453459MaRDI QIDQ2286107
Hui Meng, Tak Kuen Siu, Pu Liao
Publication date: 9 January 2020
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2019.124585
Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10) Actuarial mathematics (91G05)
Related Items (3)
Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle ⋮ Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
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