Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Year of publication: |
2014
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Authors: | Guan, Guohui ; Liang, Zongxia |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 55.2014, p. 105-115
|
Subject: | Optimal proportional reinsurance strategy | Optimal investment strategy | CRRA utility | Stochastic dynamic programming | Stochastic inflation index | Stochastic interest rate | Theorie | Theory | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Inflation | Zins | Interest rate | Dynamische Optimierung | Dynamic programming | Zinsstruktur | Yield curve |
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