Optimal reinsurance-investment with loss aversion under rough Heston model
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Publication:6101023
DOI10.1080/14697688.2022.2140308zbMath1519.91216MaRDI QIDQ6101023
Jingtang Ma, Zhengyang Lu, Dengsheng Chen
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
approximate solutionsMonte Carlo methodsdual controlrough Heston modelreinsurance-investment strategies
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