An HMM approach for optimal investment of an insurer (Q2864634): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1002/rnc.1727 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2031037052 / rank | |||
Normal rank | |||
Revision as of 21:47, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An HMM approach for optimal investment of an insurer |
scientific article |
Statements
An HMM approach for optimal investment of an insurer (English)
0 references
26 November 2013
0 references
optimal investment
0 references
insurance risk
0 references
model uncertainty
0 references
hidden Markov model
0 references
HJB dynamic programming
0 references
robust filters
0 references
