Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Bo Yi; Zhongfei Li; Frederi G. Viens; Yan Zeng
| Year of publication: |
2013
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|---|---|
| Authors: | Yi, Bo ; Li, Zhongfei ; Viens, Frederi G. ; Zeng, Yan |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 601-614
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| Subject: | Reinsurance and investment strategy | Stochastic volatility | Robust optimal control | Utility maximization | Ambiguity-Averse Insurer | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Versicherung | Insurance | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| 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://ebvufind01.dmz1.zbw.eu/10010227929