Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
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Publication:5078056
DOI10.1080/03610926.2019.1620953OpenAlexW2947510045MaRDI QIDQ5078056
Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1620953
Related Items (3)
Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
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