Optimal investment, consumption and proportional reinsurance under model uncertainty
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Publication:2514622
DOI10.1016/j.insmatheco.2014.09.013zbMath1306.91131OpenAlexW2083857866MaRDI QIDQ2514622
Fenge Chen, Hu, Yijun, Xing-Chun Peng
Publication date: 3 February 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.09.013
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Related Items (5)
Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Unnamed Item ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ Exponential utility maximization for an insurer with time-inconsistent preferences
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