Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model
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Publication:380466
DOI10.3934/JIMO.2013.9.411zbMath1281.90091OpenAlexW2319605253MaRDI QIDQ380466
Wei Wang, Lin-Yi Qian, Rong-Ming Wang
Publication date: 14 November 2013
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2013.9.411
Processes with independent increments; Lévy processes (60G51) Applications of mathematical programming (90C90) Diffusion processes (60J60)
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