Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function.
Ailing GuZhongfei LiPublished in: J. Syst. Sci. Complex. (2016)
Keyphrases
- state dependent
- utility function
- steady state
- utility maximization
- investment strategies
- optimal policy
- queueing networks
- decision problems
- expected utility
- minimax regret
- decision theory
- decision makers
- asymptotically optimal
- arrival rate
- queue length
- dynamic programming
- stock market
- single server
- risk averse
- risk aversion
- probability distribution
- stationary distribution
- machine learning