On optimal investment in a reinsurance context with a point process market model
From MaRDI portal
Publication:661254
DOI10.1016/j.insmatheco.2010.07.006zbMath1231.91180OpenAlexW1968860875MaRDI QIDQ661254
Enrico Edoli, Wolfgang J. Runggaldier
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.07.006
Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)
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