Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
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Publication:2152234
DOI10.1007/s11009-022-09941-6zbMath1492.91278OpenAlexW4214520486MaRDI QIDQ2152234
Publication date: 7 July 2022
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-022-09941-6
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Actuarial mathematics (91G05)
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