OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE (Q5369466): Difference between revisions

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Latest revision as of 14:30, 14 July 2024

scientific article; zbMATH DE number 6792331
Language Label Description Also known as
English
OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
scientific article; zbMATH DE number 6792331

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    OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE (English)
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    17 October 2017
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    common shock component
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    compound Poisson process
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    stochastic linear-quadratic problem
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    Hamilton-Jacobi-Bellman equation
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    proportional reinsurance
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