Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Zhiping Chen, Peng Yang
| Year of publication: |
2020
|
|---|---|
| Authors: | Chen, Zhiping ; Yang, Peng |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 92.2020, p. 27-46
|
| Subject: | Ambiguity | Reinsurance–investment strategy | Robust optimal | Stochastic dynamic programming | Time consistency | Utility maximization | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012242037