Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model (Q2447423)
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scientific article; zbMATH DE number 6288467
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| English | Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model |
scientific article; zbMATH DE number 6288467 |
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Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model (English)
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25 April 2014
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excess-of-loss reinsurance
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constant elasticity of variance
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optimal investment strategy
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Hamilton-Jacobi-Bellman equation
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insurer
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0.9495728611946106
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0.9324411749839784
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0.9072522521018982
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0.906254231929779
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