Optimal reinsurance and investment problem with default risk and bounded memory
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Publication:3386600
DOI10.1080/00207179.2019.1573320zbMath1457.91328OpenAlexW2810499246WikidataQ128511892 ScholiaQ128511892MaRDI QIDQ3386600
Baiyi Wu, Chao Deng, Wenlong Bian
Publication date: 5 January 2021
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2019.1573320
Hamilton-Jacobi-Bellman equationdefault riskCEV modelbounded memoryoptimal reinsurance-investment strategy
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