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A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling.
Zhongyang Sun
Kam Chuen Yuen
Junyi Guo
Published in:
J. Comput. Appl. Math. (2020)
Keyphrases
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computational model
stochastic model
genetic algorithm
high level
statistical model
management system
mathematical model
decision making
probability distribution
monte carlo
formal model
risk management
stochastic nature