Robust optimal reinsurance-investment strategy with price jumps and correlated claims (Q784390)
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scientific article; zbMATH DE number 7226812
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| English | Robust optimal reinsurance-investment strategy with price jumps and correlated claims |
scientific article; zbMATH DE number 7226812 |
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Robust optimal reinsurance-investment strategy with price jumps and correlated claims (English)
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3 August 2020
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reinsurance-investment strategy
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robust optimal
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ambiguity
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utility maximization
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time consistency
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stochastic dynamic programming
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0.8648521900177002
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0.8578327894210815
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0.8449570536613464
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0.8357560634613037
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