Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Guohui Guan, Zongxia Liang
| Year of publication: |
2019
|
|---|---|
| Authors: | Guan, Guohui ; Liang, Zongxia |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 89.2019, p. 63-78
|
| Subject: | Investment | Proportional reinsurance | Robust optimal control | Stochastic inflation | Stochastic volatility | Theorie | Theory | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.09.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012133510