Optimal investment and reinsurance of an insurer with model uncertainty
From MaRDI portal
Publication:659098
DOI10.1016/j.insmatheco.2009.04.001zbMath1231.91257OpenAlexW1998091013MaRDI QIDQ659098
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.04.001
stochastic differential gamemodel uncertaintyproportional reinsuranceoptimal investmentexponential utilityHJBI equationspenalty of ruin
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