Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
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Publication:6096581
DOI10.1016/j.ejor.2023.05.023OpenAlexW4376879159MaRDI QIDQ6096581
Kam-Chuen Yuen, Zhibin Liang, Xia Han, Y. Yuan
Publication date: 15 September 2023
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2023.05.023
stochastic processestime-consistent strategydelay factorsextended Hamilton-Jacobi-Bellman (HJB) delay systemthinning-dependence
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