Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Ya Huang, Xiangqun Yang, Jieming Zhou
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Huang, Ya ; Xiangqun, Yang ; Zhou, Jieming |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 85.2017, 2, p. 305-326
|
| Subject: | Robust control | Ambiguity-averse | Expected utility | Proportional reinsurance | Rückversicherung | Reinsurance | Theorie | Theory | Versicherung | Insurance | Robustes Verfahren | Robust statistics | Erwartungsnutzen | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0570-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011714438