Optimal investment strategy for a non-life insurance company: quadratic loss
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Publication:5469343
DOI10.4064/am32-3-2zbMath1140.91385MaRDI QIDQ5469343
Publication date: 18 May 2006
Published in: Applicationes Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/am32-3-2
Hamilton-Jacobi-Bellman equation; optimal investment strategy; insurer's wealth path dependent disutility optimization; Lévy-type stochastic integrals
93E20: Optimal stochastic control
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