Optimal investment and risk control for an insurer with partial information in an anticipating environment
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Publication:4562057
DOI10.1080/03461238.2018.1475300zbMath1418.91255OpenAlexW2806057345MaRDI QIDQ4562057
Wenyuan Wang, Fenge Chen, Xing-Chun Peng
Publication date: 14 December 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2018.1475300
Malliavin calculusinvestmentpartial informationrisk controlforward integralsanticipating environment
Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)
Related Items
Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment, Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion, Mean-variance asset–liability management with partial information and uncertain time horizon
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