Optimal reinsurance and investment problem with default risk and bounded memory.

Chao Deng Wenlong Bian Baiyi Wu

Published in: Int. J. Control (2020)

Keyphrases

bounded memory
decision making
dynamic programming
optimal portfolio
conditional expectation
risk neutral
real time
closed form
data sets
investment strategies
optimal solution
multi objective
database
risk assessment
risk aversion
data streams
expected loss
decision trees
asset allocation