Optimal investment problem for an insurer and a reinsurer (Q256739)
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scientific article; zbMATH DE number 6553047
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| English | Optimal investment problem for an insurer and a reinsurer |
scientific article; zbMATH DE number 6553047 |
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Optimal investment problem for an insurer and a reinsurer (English)
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10 March 2016
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Hamilton-Jacobi-Bellman equation
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optimal reinsurance and investment strategies
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proportional reinsurance
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ruin probability
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utility maximization
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0.9041624665260316
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0.8787131309509277
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0.8730036020278931
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0.8713698983192444
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