Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework (Q2338463)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework |
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Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework (English)
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21 November 2019
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asset liability management
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CIR stochastic interest rate model
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Heston stochastic volatility model
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insurance system with reinsurance
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Hamilton-Jacobi-Bellman equation
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stochastic optimal control
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