Optimal reinsurance and investment with unobservable claim size and intensity
Zhibin Liang; Erhan Bayraktar
| Year of publication: |
2014
|
|---|---|
| Authors: | Liang, Zhibin ; Bayraktar, Erhan |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 55.2014, p. 156-166
|
| Subject: | Markov-modulated compound Poisson process | Proportional reinsurance | Optimal investment | Theorie | Theory | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010366184