On optimal proportional reinsurance and investment in a hidden Markov financial market (Q523747)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6707200
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On optimal proportional reinsurance and investment in a hidden Markov financial market |
scientific article; zbMATH DE number 6707200 |
Statements
On optimal proportional reinsurance and investment in a hidden Markov financial market (English)
0 references
21 April 2017
0 references
hidden Markov chain
0 references
exponential utility
0 references
Girsanov change of measure
0 references
dynamic programming
0 references
0 references
0 references
0 references
0 references
0.8544947504997253
0 references
0.8368988037109375
0 references
0.8184642195701599
0 references
0.8156195878982544
0 references
0.8100283741950989
0 references
