Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (Q517215): Difference between revisions

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Revision as of 18:04, 19 March 2024

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Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
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    Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (English)
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    23 March 2017
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    investment
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    reinsurance
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    hidden Markov chain
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    convex risk measure
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    backward stochastic differential equation
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