Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
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Publication:6156011
DOI10.1080/03461238.2022.2108335zbMath1521.91322OpenAlexW4294142620MaRDI QIDQ6156011
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Publication date: 9 June 2023
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2022.2108335
Lie symmetriesmean-variance optimizationreinsuranceparametrix methodparabolic partial differential equation4/2 stochastic volatility model
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)
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Cites Work
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