A BSDE-based approach for the optimal reinsurance problem under partial information
M. Brachetta, C. Ceci
| Year of publication: |
2020
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|---|---|
| Authors: | Brachetta, M. ; Ceci, C. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 95.2020, p. 1-16
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| Subject: | Optimal reinsurance | Partial information | Stochastic control | Stochastic factor risk models | Backward stochastic differential equations | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Unvollkommene Information | Incomplete information | Kontrolltheorie | Control theory | Analysis | Mathematical analysis | Versicherungsmathematik | Actuarial mathematics | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.07.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012419211