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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174247
Description: We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selecti ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135124
Description: We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, n ... More
Reviewed: Reviewed
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