Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
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Publication:2007166
DOI10.1155/2020/9368346zbMATH Open1459.91162OpenAlexW3082514801MaRDI QIDQ2007166FDOQ2007166
Publication date: 12 October 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/9368346
Actuarial mathematics (91G05) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
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- OPTIMAL MEANโVARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
- Optimal investment for an insurer: the martingale approach
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- On time-inconsistent stochastic control in continuous time
- Optimal proportional reinsurance with common shock dependence
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
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Cited In (1)
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