Robust investment-reinsurance optimization with multiscale stochastic volatility (Q2347077)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust investment-reinsurance optimization with multiscale stochastic volatility |
scientific article |
Statements
Robust investment-reinsurance optimization with multiscale stochastic volatility (English)
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26 May 2015
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investment and reinsurance
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mixture of power utilities
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Hamilton-Jacobi-Bellman-Isaacs equation
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multiscale stochastic volatility
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perturbation methods
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