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Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables.

Ya HuangXiangqun YangJieming Zhou
Published in: J. Comput. Appl. Math. (2016)
Keyphrases
  • computational model
  • mathematical model
  • statistical model
  • control method
  • structural model
  • high level
  • similarity measure
  • worst case
  • closed form
  • neural network model
  • optimal control
  • decision theoretic