Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model (Q2015626)
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scientific article; zbMATH DE number 6306904
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| English | Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model |
scientific article; zbMATH DE number 6306904 |
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model (English)
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23 June 2014
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reinsurance and investment strategy
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stochastic volatility
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robust optimal control
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utility maximization
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ambiguity-averse insurer
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