A BSDE approach to a risk-based optimal investment of an insurer
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Publication:627068
DOI10.1016/j.automatica.2010.10.032zbMath1213.60100OpenAlexW2040974471MaRDI QIDQ627068
Tak Kuen Siu, Robert J. Elliott
Publication date: 21 February 2011
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2010.10.032
diffusion approximationinsurance companybackward stochastic differential equationconvex risk measureoptimal investmentexistence and uniqueness of optimal strategieszero-sum stochastic differential game
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23)
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