Optimal investment and risk control for an insurer with stochastic factor
From MaRDI portal
Publication:1728224
DOI10.1016/j.orl.2017.04.002zbMath1409.91127MaRDI QIDQ1728224
Publication date: 22 February 2019
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2017.04.002
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
91G10: Portfolio theory
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