Robust optimal investment and reinsurance problem for a general insurance company under Heston model (Q2014373)
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scientific article; zbMATH DE number 6759771
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| English | Robust optimal investment and reinsurance problem for a general insurance company under Heston model |
scientific article; zbMATH DE number 6759771 |
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Robust optimal investment and reinsurance problem for a general insurance company under Heston model (English)
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11 August 2017
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robust control
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ambiguity-averse
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expected utility
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proportional reinsurance
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0.9363995
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0.93537134
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0.93436736
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0.92456055
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0.92269754
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0.91834307
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0.9169371
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0.91618717
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0.91570723
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