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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172334
Description: In this paper, we introduce a Hidden Markov Model (HMM) for studying an optimal investment problem of an insurer when model uncertainty is present. More specifically, the financial price and insurance ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/140455
Description: We develop a continuous-time asset allocation model which incorporates both model uncertainty and structural changes in economic conditions. A "dynamic" M-ary detection framework for a continuous-time ... More
Reviewed: Reviewed
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