Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity (Q506097)
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scientific article; zbMATH DE number 6679049
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| English | Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity |
scientific article; zbMATH DE number 6679049 |
Statements
Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity (English)
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31 January 2017
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proportional reinsurance
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robust control
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optimal investment strategy
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utility function
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mispricing
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0.922932744026184
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0.8173044323921204
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0.8132766485214233
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0.8129519820213318
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0.8091939687728882
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