Optimal insurance demand under marked point processes shocks.

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Publication:1578607


DOI10.1214/aoap/1019737674zbMath1161.91419MaRDI QIDQ1578607

Nizar Touzi

Publication date: 4 September 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1019737674

zbMATH Keywords

stochastic control; duality; convex analysis; optional decomposition; Optimal insurance


Mathematics Subject Classification ID

91A40: Other game-theoretic models

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)


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Cites Work

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