Optimal investment and risk control for an insurer with stochastic factor.
Lijun BoShihua WangPublished in: Oper. Res. Lett. (2017)
Keyphrases
- control policies
- optimal control
- control policy
- decision making
- locally optimal
- dynamic programming
- control problems
- risk neutral
- investment strategies
- control method
- investment decisions
- risk aversion
- stochastic dynamic programming
- optimal portfolio
- worst case
- control system
- optimal solution
- portfolio management
- portfolio optimization
- discrete event
- long run
- closed form
- return on investment
- stochastic model
- risk averse
- optimal strategy
- production processes
- risk management
- multistage
- asset allocation