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pro vyhledávání: '"Benedetta Salterini"'
Publikováno v:
Mathematics, Vol 9, Iss 14, p 1610 (2021)
In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks
Externí odkaz:
https://doaj.org/article/2c30390ac60a4043b980d3792843532e
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both cases, the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::03f2cfd453e680ce89eda0abea61077b
Publikováno v:
Mathematics, Vol 9, Iss 1610, p 1610 (2021)
Mathematics
Volume 9
Issue 14
Mathematics
Volume 9
Issue 14
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80024b1863b72d73e48d81cb9d5def18
https://www.mdpi.com/2227-7390/9/14/1610
https://www.mdpi.com/2227-7390/9/14/1610