Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model (Q4583608)
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scientific article; zbMATH DE number 6930167
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model |
scientific article; zbMATH DE number 6930167 |
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Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model (English)
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31 August 2018
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risk process
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stochastic control
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exponential utility
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stochastic factor model
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Hamilton-Jacobi-Bellman equation
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