Optimal investment-reinsurance with dynamic risk constraint and regime switching (Q2868609): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/03461238.2011.602477 / rank
 
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Latest revision as of 04:45, 7 July 2024

scientific article
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Optimal investment-reinsurance with dynamic risk constraint and regime switching
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    Optimal investment-reinsurance with dynamic risk constraint and regime switching (English)
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    17 December 2013
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    optimal reinsurance
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    investment
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    regime-switching
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    utility maximization
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    dynamic programming
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    maximal conditional value at risk
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    regime-switching Hamilton-Jacobi-Bellman equations
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