Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model (Q4583608)
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scientific article; zbMATH DE number 6930167
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| English | Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model |
scientific article; zbMATH DE number 6930167 |
Statements
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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0.8608660697937012
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0.8369816541671753
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0.8340877890586853
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0.8263649344444275
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0.8105480074882507
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