Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (Q517215): Difference between revisions
From MaRDI portal
Removed claims |
Changed an Item |
||
| Property / author | |||
| Property / author: Hu, Yijun / rank | |||
Normal rank | |||
Revision as of 20:55, 9 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching |
scientific article |
Statements
Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (English)
0 references
23 March 2017
0 references
investment
0 references
reinsurance
0 references
hidden Markov chain
0 references
convex risk measure
0 references
backward stochastic differential equation
0 references
