Robust optimal investment and reinsurance problem for a general insurance company under Heston model
type: Item
instance of: scholarly article
title: Robust optimal investment and reinsurance problem for a general insurance company under Heston model
zbMATH Open document ID: 1414.91203
author: Ya Huang
author: Xiangqun Yang
author: Jieming Zhou
published in: Mathematical Methods of Operations Research
publication date: 2017-08-11T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 93B35
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6759771
zbMATH Keywords: robust control
zbMATH Keywords: ambiguity-averse
zbMATH Keywords: expected utility
zbMATH Keywords: proportional reinsurance
MaRDI profile type: Publication
full work available at URL: s00186-017-0570-8
OpenAlex ID: W2587186269
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DOI: 10.1007/S00186-017-0570-8
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description: scientific article; zbMATH DE number 6759771