Robust optimal investment and reinsurance problem for a general insurance company under Heston model
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Publication:2014373
DOI10.1007/s00186-017-0570-8zbMath1414.91203OpenAlexW2587186269MaRDI QIDQ2014373
Ya Huang, Xiang-Qun Yang, Jie-Ming Zhou
Publication date: 11 August 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-017-0570-8
Sensitivity (robustness) (93B35) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
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