Optimal investment, consumption and proportional reinsurance under model uncertainty
Year of publication: |
2014
|
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Authors: | Peng, Xingchun ; Chen, Fenge ; Hu, Yijun |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 59.2014, p. 222-234
|
Subject: | Investment | Consumption | Reinsurance | Model uncertainty | Stochastic maximum principle | Malliavin calculus | Theorie | Theory | Rückversicherung | Risiko | Risk | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Investition | Investitionsrisiko | Investment risk |
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