Optimal proportional reinsurance and investment for stochastic factor models
M. Brachetta, C. Ceci
| Year of publication: |
2019
|
|---|---|
| Authors: | Brachetta, M. ; Ceci, C. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 87.2019, p. 15-33
|
| Subject: | Optimal proportional reinsurance | Optimal investment | Cox model | Stochastic control | Random measures | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Versicherungsmathematik | Actuarial mathematics | Investition | Investment | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.03.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012058904