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~subject:"Stochastic volatility"
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
Saved in:
2
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance: Mathematics and Economics
53
(
2013
)
3
,
pp. 601-614
) model for an
Ambiguity-Averse
Insurer (AAI), who worries about model misspecification and aims to find robust optimal …
Persistent link: https://www.econbiz.de/10010719092
Saved in:
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