Optimal proportional reinsurance and investment under partial information
From MaRDI portal
Publication:2513598
DOI10.1016/j.insmatheco.2013.07.004zbMath1304.91127MaRDI QIDQ2513598
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.07.004
60G51: Processes with independent increments; Lévy processes
60H30: Applications of stochastic analysis (to PDEs, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
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