Optimal insurance demand under marked point processes shocks.

DOI10.1214/aoap/1019737674zbMath1161.91419OpenAlexW1979787959MaRDI 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 controldualityconvex analysisoptional decompositionOptimal insurance

Mathematics Subject Classification ID

Other game-theoretic models (91A40) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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