Optimal excess-of-loss reinsurance and investment with stochastic factor process (Q5057347)
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scientific article; zbMATH DE number 7633428
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| default for all languages | No label defined |
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| English | Optimal excess-of-loss reinsurance and investment with stochastic factor process |
scientific article; zbMATH DE number 7633428 |
Statements
Optimal excess-of-loss reinsurance and investment with stochastic factor process (English)
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16 December 2022
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excess-of-loss reinsurance
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exponential utility
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optimal investment
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Hamilton-Jacobi-Bellman equation
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0.9450109
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0.93987715
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0.9346849
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0.9281371
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0.92731655
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0.92419314
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0.9216685
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0.92122185
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