Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
Year of publication: |
January 2017
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Authors: | Gu, Ailing ; Viens, Frederi G. ; Yi, Bo |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 235-249
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Subject: | Proportional reinsurance | Robust control | Optimal investment strategy | Utility function | Mispricing | Theorie | Theory | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty |
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