Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model (Q2015626): Difference between revisions

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Latest revision as of 15:38, 8 July 2024

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
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    Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model (English)
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    23 June 2014
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    reinsurance and investment strategy
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    stochastic volatility
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    robust optimal control
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    utility maximization
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    ambiguity-averse insurer
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