Minimax martingale method for optimal investment-reinsurance problem in a general insurance company risk model

zbMATH Open1488.62193MaRDI QIDQ3385100FDOQ3385100

Authors: Zijian Zhou, Xu Chen 

Publication date: 17 December 2021

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zbMATH Keywords

investmentproportional reinsurancereinsuranceminimax martingale measure

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited In (1)

• Optimal investment for an insurer: the martingale approach

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