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person:"Li, Zhongfei"
~person:"Li, Danping"
~subject:"Option pricing theory"
~subject:"Rückversicherung"
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Option pricing theory
Rückversicherung
Utility maximization
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Portfolio selection
3
Robust optimal control
3
Ambiguity-Averse Insurer
2
Insurance
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Mispricing
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Model ambiguity
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Robust control
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Robust statistics
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Robustes Verfahren
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Stochastic process
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Control theory
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Financial economics
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Optionspreistheorie
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Theorie
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Theory
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Unvollkommener Markt
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ambiguity-averse insurer
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excess-of-loss reinsurance and investment
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Li, Zhongfei
Li, Danping
Bichuch, Maxim
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Chevalier, Etienne
2
Lim, Thomas
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Yu, Xiang
2
Zeng, Yan
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Abergel, Frédérik
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Insurance / Mathematics & economics
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Scandinavian actuarial journal
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ECONIS (ZBW)
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Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Li, Danping
;
Zeng, Yan
;
Yang, Hailiang
- In:
Scandinavian actuarial journal
(
2018
)
2
,
pp. 145-171
Persistent link: https://www.econbiz.de/10011881073
Saved in:
2
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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