Robust optimal reinsurance-investment strategy with price jumps and correlated claims
From MaRDI portal
Publication:784390
DOI10.1016/j.insmatheco.2020.03.001zbMath1445.91051OpenAlexW3009949638MaRDI QIDQ784390
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.03.001
stochastic dynamic programmingambiguityutility maximizationtime consistencyreinsurance-investment strategyrobust optimal
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Dynamic programming (90C39) Portfolio theory (91G10) Actuarial mathematics (91G05)
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