A Bayesian approach for optimal reinsurance and investment in a diffusion model
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Publication:383414
DOI10.1007/s10665-011-9531-zzbMath1276.91065OpenAlexW2111139944MaRDI QIDQ383414
Robert J. Elliott, Tak Kuen Siu, Xin Zhang
Publication date: 4 December 2013
Published in: Journal of Engineering Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10665-011-9531-z
filteringHJB equationsproportional reinsurancepartial observationsoptimal investmentBayesian adaptive control approach
Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80)
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Optimal investment and consumption strategies for pooled annuity with partial information ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates
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