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Property / full work available at URL: https://doi.org/10.1016/j.jmaa.2016.09.053 / rank
 
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Latest revision as of 20:52, 12 July 2024

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Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
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    Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk (English)
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    31 October 2016
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    robust optimal control
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    investment and reinsurance
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    defaultable bond
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    CARA utility
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    dynamic programming approach
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