Optimal investment for the insurers in Markov-modulated jump-diffusion models
Year of publication: |
June 2015
|
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Authors: | Li, Jinzhi ; Liu, Haiying |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 46.2015, 1, p. 143-156
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Subject: | Markov-modulated jump-diffusion process | Portfolio optimization | Hamilton-Jacobi-Bellman equations | CARA utility function | Theorie | Theory | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function | Stochastischer Prozess | Stochastic process |
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