Optimal investment-reinsurance policy with regime switching and value-at-risk constraint (Q2244207)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment-reinsurance policy with regime switching and value-at-risk constraint |
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Optimal investment-reinsurance policy with regime switching and value-at-risk constraint (English)
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12 November 2021
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investment-reinsurance
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ruin probability
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regime-switching
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value-at-risk
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dynamic programming
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Lagrangian method
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