Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
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Publication:625791
DOI10.1007/s11425-010-4033-4zbMath1214.93118OpenAlexW1990875175MaRDI QIDQ625791
Publication date: 25 February 2011
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-010-4033-4
Hamilton-Jacobi-Bellman equationexcess-of-loss reinsuranceexponential utilityprobability of ruinmultiple risky asset investment
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