On stochastic optimal reinsurance and investment strategies for the surplus under the CEV model (Q4916680)
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scientific article; zbMATH DE number 6157991
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| English | On stochastic optimal reinsurance and investment strategies for the surplus under the CEV model |
scientific article; zbMATH DE number 6157991 |
Statements
25 April 2013
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reinsurance
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surplus process
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CEV model
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stochastic optimal control
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exponential utility function
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HJB equation
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Legendre transform
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0.8699626326560974
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0.8457912802696228
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0.8428893685340881
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0.8398847579956055
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