Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
type: Item
instance of: scholarly article
title: Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
zbMATH Open document ID: 1402.91196
author: Ailing Gu
author: Frederi Viens
author: Haixiang Yao
published in: Insurance Mathematics \& Economics
publication date: 2018-06-15T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6889950
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: robust control
zbMATH Keywords: optimal investment strategy
zbMATH Keywords: utility function
zbMATH Keywords: mispricing
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2018.03.004
OpenAlex ID: W2792082717
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Wikidata QID: Q130098128
DOI: 10.1016/J.INSMATHECO.2018.03.004
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description: scientific article; zbMATH DE number 6889950