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Optimal proportional reinsurance to maximize an insurer's exponential utility under unobservable drift.

Xiaoqing LiangVirginia R. Young
Published in: J. Appl. Probab. (2023)
Keyphrases
  • dynamic programming
  • optimal control
  • real time
  • data sets
  • genetic algorithm
  • artificial intelligence
  • computer vision
  • multiscale
  • optimal solution
  • evolutionary algorithm
  • concept drift
  • inversely proportional