Optimal reinsurance/investment problems for general insurance models (Q835068): Difference between revisions

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Latest revision as of 21:40, 1 July 2024

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Optimal reinsurance/investment problems for general insurance models
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    Optimal reinsurance/investment problems for general insurance models (English)
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    27 August 2009
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    Cramér-Lundberg reserve model
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    proportional reinsurance
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    optimal investment
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    Girsanov transformation
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    duality method
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    backward stochastic differential equations
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