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Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities.
Ya Huang
Yao Ouyang
Lingxiao Tang
Jieming Zhou
Published in:
J. Comput. Appl. Math. (2018)
Keyphrases
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decision making
optimal solution
profit maximizing
dynamic programming
computationally efficient
optimal control
objective function
worst case
software development
partial occlusion
risk aversion