Robust optimal reinsurance-investment strategy with price jumps and correlated claims
type: Item
instance of: scholarly article
title: Robust optimal reinsurance-investment strategy with price jumps and correlated claims
zbMATH Open document ID: 1445.91051
author: Zhiping Chen
author: Peng Yang
published in: Insurance Mathematics \& Economics
publication date: 2020-08-03T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 7226812
zbMATH Keywords: reinsurance-investment strategy
zbMATH Keywords: robust optimal
zbMATH Keywords: ambiguity
zbMATH Keywords: utility maximization
zbMATH Keywords: time consistency
zbMATH Keywords: stochastic dynamic programming
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2020.03.001
OpenAlex ID: W3009949638
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DOI: 10.1016/J.INSMATHECO.2020.03.001
description: scientific article; zbMATH DE number 7226812