Optimal investment, consumption and proportional reinsurance under model uncertainty
Xingchun Peng; Fenge Chen; Yijun Hu
| Year of publication: |
2014
|
|---|---|
| Authors: | Peng, Xingchun ; Chen, Fenge ; Hu, Yijun |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 59.2014, p. 222-234
|
| Subject: | Investment | Consumption | Reinsurance | Model uncertainty | Stochastic maximum principle | Malliavin calculus | Rückversicherung | Theorie | Theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomodell | Risk model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010469132