Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function (Q2825065)
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scientific article; zbMATH DE number 6635488
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| English | Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function |
scientific article; zbMATH DE number 6635488 |
Statements
6 October 2016
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regime-switching
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excess-of-loss reinsurance
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state-dependent utility function
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Hamilton-Jacobi-Bellman equation
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0.9504595
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0.94882023
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0.92434585
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0.91908664
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0.91817284
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0.91684073
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0.9167281
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Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function (English)
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