Optimal reinsurance/investment problems for general insurance models (Q835068)
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scientific article; zbMATH DE number 5599232
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| English | Optimal reinsurance/investment problems for general insurance models |
scientific article; zbMATH DE number 5599232 |
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Optimal reinsurance/investment problems for general insurance models (English)
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27 August 2009
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Cramér-Lundberg reserve model
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proportional reinsurance
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optimal investment
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Girsanov transformation
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duality method
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backward stochastic differential equations
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0.9608538
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0.9489635
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0.9478216
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0.94636494
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0.9462232
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0.94559777
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0.94549084
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0.9449171
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0.94247234
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