Optimal approach for insurance company with threshold dividend strategy under dynamic VaR constraint (Q2823729)
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scientific article; zbMATH DE number 6634475
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| English | Optimal approach for insurance company with threshold dividend strategy under dynamic VaR constraint |
scientific article; zbMATH DE number 6634475 |
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6 October 2016
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threshold dividend strategy
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dynamic VaR constraint
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diffusion processes
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HJB equation
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stochastic Lagrange function
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investment approach
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Optimal approach for insurance company with threshold dividend strategy under dynamic VaR constraint (English)
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0.8847180008888245
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0.8385303616523743
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0.8372548818588257
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0.8303008675575256
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