A Bayesian approach for optimal reinsurance and investment in a diffusion model (Q383414)
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scientific article; zbMATH DE number 6235575
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| English | A Bayesian approach for optimal reinsurance and investment in a diffusion model |
scientific article; zbMATH DE number 6235575 |
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A Bayesian approach for optimal reinsurance and investment in a diffusion model (English)
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4 December 2013
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Bayesian adaptive control approach
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filtering
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optimal investment
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partial observations
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proportional reinsurance
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HJB equations
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0.8379468321800232
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0.8170765042304993
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0.8134950995445251
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0.8060839176177979
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0.8054893016815186
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