Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (Q2097469): Difference between revisions
From MaRDI portal
Latest revision as of 19:16, 30 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer |
scientific article |
Statements
Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (English)
0 references
14 November 2022
0 references
pairs trading
0 references
reinsurance
0 references
Hamilton-Jacobi-Bellman equation
0 references
Ornstein-Uhlenbeck process
0 references
exponential utility
0 references
0 references
0 references
0 references
0 references