Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
From MaRDI portal
Publication:282274
DOI10.1016/j.insmatheco.2015.12.008zbMath1348.91195OpenAlexW2209055372MaRDI QIDQ282274
Xiaoxiao Zheng, Zhongyang Sun, Jie-Ming Zhou
Publication date: 12 May 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.008
robust controlconstant elasticity of varianceCramér-Lundberg risk modelexponential utilityHamilton-Jacobi-Bellman-Isaacs equation
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