Optimal investment and reinsurance of an insurer with model uncertainty (Q659098)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal investment and reinsurance of an insurer with model uncertainty |
scientific article; zbMATH DE number 6004621
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal investment and reinsurance of an insurer with model uncertainty |
scientific article; zbMATH DE number 6004621 |
Statements
Optimal investment and reinsurance of an insurer with model uncertainty (English)
0 references
10 February 2012
0 references
optimal investment
0 references
proportional reinsurance
0 references
model uncertainty
0 references
stochastic differential game
0 references
exponential utility
0 references
penalty of ruin
0 references
HJBI equations
0 references
0 references
0 references
0.8807157278060913
0 references
0.8738146424293518
0 references
0.857438862323761
0 references
0.8450981378555298
0 references
