Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (Q2097469): Difference between revisions

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Latest revision as of 19:16, 30 July 2024

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Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer
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    Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (English)
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    14 November 2022
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    pairs trading
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    reinsurance
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    Hamilton-Jacobi-Bellman equation
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    Ornstein-Uhlenbeck process
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    exponential utility
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