Optimal reinsurance and investment in a diffusion model (Q777940)
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scientific article; zbMATH DE number 7218655
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal reinsurance and investment in a diffusion model |
scientific article; zbMATH DE number 7218655 |
Statements
Optimal reinsurance and investment in a diffusion model (English)
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8 July 2020
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optimal reinsurance
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optimal investment
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Hamilton-Jacobi-Bellman equation
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SAHARA utility
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proportional reinsurance
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excess-of-loss reinsurance
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0.9666358
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0.95851713
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0.9525809
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0.9497924
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0.9462066
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0.9454051
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0.9436645
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