Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
Year of publication: |
March 2016
|
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Authors: | Zheng, Xiaoxiao ; Zhou, Jieming ; Sun, Zhongyang |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 67.2016, p. 77-87
|
Subject: | Robust control | Hamilton-Jacobi-Bellman-Isaacs equation | Exponential utility | Constant elasticity of variance | Cramér-Lundberg risk model | Theorie | Theory | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Rückversicherung | Reinsurance | Risikomodell | Risk model | Risikomanagement | Risk management |
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