Optimal investment and risk control for an insurer with stochastic factor
Year of publication: |
May 2017
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Authors: | Bo, Lijun ; Wang, Shihua |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 45.2017, 3, p. 259-265
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Subject: | Optimal investment | Risk control | Jump-diffusion | HJB PDE | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Investitionsrisiko | Investment risk | Kontrolltheorie | Control theory | Risikomanagement | Risk management |
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