Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model
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Publication:4583608
DOI10.1080/03461238.2017.1350876zbMath1416.91185OpenAlexW2735168388WikidataQ115551357 ScholiaQ115551357MaRDI QIDQ4583608
Publication date: 31 August 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2017.1350876
Hamilton-Jacobi-Bellman equationstochastic controlrisk processexponential utilitystochastic factor model
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Cites Work
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