Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk (Q333902)
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scientific article; zbMATH DE number 6645748
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| English | Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk |
scientific article; zbMATH DE number 6645748 |
Statements
Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk (English)
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31 October 2016
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robust optimal control
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investment and reinsurance
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defaultable bond
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CARA utility
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dynamic programming approach
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0.8757444620132446
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0.8715996742248535
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0.8535275459289551
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0.8521220088005066
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