Optimal reinsurance/investment problems for general insurance models
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Publication:835068
DOI10.1214/08-AAP582zbMath1168.91392arXiv0908.4538MaRDI QIDQ835068
Publication date: 27 August 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.4538
backward stochastic differential equations; duality method; proportional reinsurance; Girsanov transformation; optimal investment; Cramér-Lundberg reserve model
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G10: Portfolio theory
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