Optimal dynamic reinsurance strategies in multidimensional portfolio (Q4964407)
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scientific article; zbMATH DE number 7316859
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| default for all languages | No label defined |
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| English | Optimal dynamic reinsurance strategies in multidimensional portfolio |
scientific article; zbMATH DE number 7316859 |
Statements
Optimal dynamic reinsurance strategies in multidimensional portfolio (English)
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2 March 2021
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Cramer-Lundberg process
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optimal reinsurance
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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dynamic programing principle
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0.848194420337677
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0.8320298790931702
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0.8212906122207642
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0.814590334892273
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0.8134291172027588
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