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Robust optimal investment and reinsurance problem for a general insurance company under Heston model.
Ya Huang
Xiangqun Yang
Jieming Zhou
Published in:
Math. Methods Oper. Res. (2017)
Keyphrases
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computational model
high level
computationally tractable
mathematical model
dynamic programming
experimental data
input data
theoretical analysis
prior knowledge
sensitivity analysis
neural network
cost function
probabilistic model
worst case
theoretical framework
process model
image sequences
closed form