Constrained investment-reinsurance optimization with regime switching under variance premium principle (Q2374119)
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scientific article; zbMATH DE number 6663361
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| English | Constrained investment-reinsurance optimization with regime switching under variance premium principle |
scientific article; zbMATH DE number 6663361 |
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Constrained investment-reinsurance optimization with regime switching under variance premium principle (English)
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14 December 2016
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investment
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reinsurance
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regime switching
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variance premium principle
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Hamilton-Jacobi-Bellman equation
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0.8973902463912964
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0.8882137537002563
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0.8680461049079895
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0.8594414591789246
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0.8545060753822327
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