Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
type: Item
instance of: scholarly article
title: Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
zbMATH Open document ID: 1411.91281
author: Chang Guo
author: Xiaoyang Zhuo
author: Corina Constantinescu
author: Olivier Menoukeu-Pamen
published in: Methodology and Computing in Applied Probability
publication date: 2019-04-26T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7048047
zbMATH Keywords: optimal reinsurance-investment strategy
zbMATH Keywords: foreign exchange market
zbMATH Keywords: extended CIR
zbMATH Keywords: stochastic inflation
zbMATH Keywords: dynamic programming principle
MaRDI profile type: Publication
full work available at URL: s11009-018-9630-7
OpenAlex ID: W2795717653
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DOI: 10.1007/S11009-018-9630-7
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description: scientific article; zbMATH DE number 7048047