Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
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Publication:2684949
DOI10.1007/s11009-022-09964-zOpenAlexW4282834746MaRDI QIDQ2684949
Publication date: 17 February 2023
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-022-09964-z
Processes with independent increments; Lévy processes (60G51) Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
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