Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Year of publication: |
April 2017
|
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Authors: | Huang, Ya ; Xiangqun, Yang ; Zhou, Jieming |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 85.2017, 2, p. 305-326
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Subject: | Robust control | Ambiguity-averse | Expected utility | Proportional reinsurance | Theorie | Theory | Rückversicherung | Reinsurance | Robustes Verfahren | Robust statistics | Versicherung | Insurance | Erwartungsnutzen | Stochastischer Prozess | Stochastic process |
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