Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
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Publication:743147
DOI10.1016/j.insmatheco.2014.01.007zbMath1296.91155OpenAlexW2068545243MaRDI QIDQ743147
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.007
stochastic dynamic programmingstochastic interest ratestochastic inflation indexoptimal investment strategyCRRA utilityoptimal proportional reinsurance strategy
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