Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
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Publication:5097222
DOI10.1137/21M1411093OpenAlexW4291012271MaRDI QIDQ5097222
Wanlu Zhang, Hui Meng, Pengyu Wei, Sheng Chao Zhuang
Publication date: 22 August 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/21m1411093
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
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