Robust optimal investment and reinsurance problem for a general insurance company under Heston model (Q2014373)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust optimal investment and reinsurance problem for a general insurance company under Heston model |
scientific article |
Statements
Robust optimal investment and reinsurance problem for a general insurance company under Heston model (English)
0 references
11 August 2017
0 references
robust control
0 references
ambiguity-averse
0 references
expected utility
0 references
proportional reinsurance
0 references
