On optimal investment in a reinsurance context with a point process market model (Q661254): Difference between revisions

@@ Property / author @@
-Wolfgang J. Runggaldier
@@ Property / author: Wolfgang J. Runggaldier / rank @@
-Normal rank
@@ Property / author @@
+Wolfgang J. Runggaldier
@@ Property / author: Wolfgang J. Runggaldier / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2010.07.006
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@@ Property / OpenAlex ID @@
+W1968860875
@@ Property / OpenAlex ID: W1968860875 / rank @@
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@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+MDP algorithms for portfolio optimization problems in pure jump markets
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in discontinuous markets under incomplete information
+Normal rank
@@ Property / cites work @@
+On optimal investment in a reinsurance context with a point process market model
+Normal rank
@@ Property / cites work @@
+Q4324879
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+Q4657106
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+Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
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+On reinsurance and investment for large insurance portfolios
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+Q5605138
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+A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
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+A coupled system of integrodifferential equations arising in liquidity risk model
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+Q4406668
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+On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Q5434181
@@ Property / cites work: Q5434181 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:661254