Optimal dynamic reinsurance with dependent risks: variance premium principle (Q4576956): Difference between revisions

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Property / author: Kam-Chuen Yuen / rank
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Latest revision as of 02:19, 16 July 2024

scientific article; zbMATH DE number 6901742
Language Label Description Also known as
English
Optimal dynamic reinsurance with dependent risks: variance premium principle
scientific article; zbMATH DE number 6901742

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    Optimal dynamic reinsurance with dependent risks: variance premium principle (English)
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    11 July 2018
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    Brownian motion
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    common shock
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    compound Poisson process
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    diffusion process
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    exponential utility
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    Hamilton-Jacobi-Bellman equation
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    proportional reinsurance
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