Robust investment-reinsurance optimization with multiscale stochastic volatility

DOI10.1016/j.insmatheco.2015.03.030zbMath1318.91122OpenAlexW1976890032WikidataQ58980839 ScholiaQ58980839MaRDI QIDQ2347077

Chi Seng Pun, Hoi Ying Wong

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.030

zbMATH Keywords

perturbation methodsinvestment and reinsuranceHamilton-Jacobi-Bellman-Isaacs equationmultiscale stochastic volatilitymixture of power utilities

Mathematics Subject Classification ID

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Cites Work

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