Optimal controls for a large insurance under a CEV model : based on the legendre transform-dual method
Year of publication: |
December 2016
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Authors: | Wu, Kun ; Wu, Wei-xing |
Published in: |
Journal of quantitative economics : official journal of the Indian Econometric Society. - Dordrecht : Springer Science + Business Media, ISSN 0971-1554, ZDB-ID 1235170-2. - Vol. 14.2016, 2, p. 167-178
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Subject: | CEV model | Proportional reinsurance | Optimal investment | Legendre transform |
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