Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model.
Yan ZhangPeibiao ZhaoBingyu KouPublished in: J. Comput. Appl. Math. (2021)
Keyphrases
- decision making
- prior knowledge
- theoretical framework
- probabilistic model
- computational model
- closed form
- statistical model
- mathematical model
- artificial neural networks
- cost function
- sensitivity analysis
- data sets
- parameter estimation
- dynamic programming
- optimal solution
- objective function
- similarity measure
- high level