Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
Xiaoxiao Zheng, Jieming Zhou, Zhongyang Sun
| Year of publication: |
March 2016
|
|---|---|
| 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
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| Subject: | Robust control | Hamilton-Jacobi-Bellman-Isaacs equation | Exponential utility | Constant elasticity of variance | Cramér-Lundberg risk model | Theorie | Theory | Portfolio-Management | Portfolio selection | Rückversicherung | Reinsurance | Robustes Verfahren | Robust statistics | Risikomodell | Risk model | Versicherung | Insurance | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.12.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011457158