FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2023490476> ?p ?o ?g. }

• W2023490476 endingPage "215" @default.
• W2023490476 startingPage "207" @default.
• W2023490476 abstract "In this paper, we study the optimal investment and proportional reinsurance strategy when an insurance company wishes to maximize the expected exponential utility of the terminal wealth. It is assumed that the instantaneous rate of investment return follows an Ornstein–Uhlenbeck process. Using stochastic control theory and Hamilton–Jacobi–Bellman equations, explicit expressions for the optimal strategy and value function are derived not only for the compound Poisson risk model but also for the Brownian motion risk model. Further, we investigate the partially observable optimization problem, and also obtain explicit expressions for the optimal results." @default.
• W2023490476 created "2016-06-24" @default.
• W2023490476 creator A5017335561 @default.
• W2023490476 creator A5042703607 @default.
• W2023490476 creator A5049856565 @default.
• W2023490476 date "2011-09-01" @default.
• W2023490476 modified "2023-10-10" @default.
• W2023490476 title "Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process" @default.
• W2023490476 cites W1947002938 @default.
• W2023490476 cites W1968457222 @default.
• W2023490476 cites W1973133746 @default.
• W2023490476 cites W1978721202 @default.
• W2023490476 cites W1979653978 @default.
• W2023490476 cites W1983973130 @default.
• W2023490476 cites W1989353383 @default.
• W2023490476 cites W1996175061 @default.
• W2023490476 cites W2005158847 @default.
• W2023490476 cites W2037007317 @default.
• W2023490476 cites W2043031426 @default.
• W2023490476 cites W2044739355 @default.
• W2023490476 cites W2065290976 @default.
• W2023490476 cites W2066332436 @default.
• W2023490476 cites W2082447955 @default.
• W2023490476 cites W2087292112 @default.
• W2023490476 cites W2090752464 @default.
• W2023490476 cites W2118573305 @default.
• W2023490476 cites W2127281981 @default.
• W2023490476 cites W2135676806 @default.
• W2023490476 cites W2151952891 @default.
• W2023490476 cites W2169442762 @default.
• W2023490476 cites W2171169470 @default.
• W2023490476 cites W2171757380 @default.
• W2023490476 cites W2284869551 @default.
• W2023490476 cites W4236303303 @default.
• W2023490476 doi "https://doi.org/10.1016/j.insmatheco.2011.04.005" @default.
• W2023490476 hasPublicationYear "2011" @default.
• W2023490476 type Work @default.
• W2023490476 sameAs 2023490476 @default.
• W2023490476 citedByCount "70" @default.
• W2023490476 countsByYear W20234904762013 @default.
• W2023490476 countsByYear W20234904762014 @default.
• W2023490476 countsByYear W20234904762015 @default.
• W2023490476 countsByYear W20234904762016 @default.
• W2023490476 countsByYear W20234904762017 @default.
• W2023490476 countsByYear W20234904762018 @default.
• W2023490476 countsByYear W20234904762019 @default.
• W2023490476 countsByYear W20234904762020 @default.
• W2023490476 countsByYear W20234904762021 @default.
• W2023490476 countsByYear W20234904762022 @default.
• W2023490476 countsByYear W20234904762023 @default.
• W2023490476 crossrefType "journal-article" @default.
• W2023490476 hasAuthorship W2023490476A5017335561 @default.
• W2023490476 hasAuthorship W2023490476A5042703607 @default.
• W2023490476 hasAuthorship W2023490476A5049856565 @default.
• W2023490476 hasConcept C100906024 @default.
• W2023490476 hasConcept C10138342 @default.
• W2023490476 hasConcept C103144560 @default.
• W2023490476 hasConcept C105795698 @default.
• W2023490476 hasConcept C112401455 @default.
• W2023490476 hasConcept C126255220 @default.
• W2023490476 hasConcept C133338972 @default.
• W2023490476 hasConcept C134306372 @default.
• W2023490476 hasConcept C144237770 @default.
• W2023490476 hasConcept C14646407 @default.
• W2023490476 hasConcept C149782125 @default.
• W2023490476 hasConcept C151376022 @default.
• W2023490476 hasConcept C162118730 @default.
• W2023490476 hasConcept C162324750 @default.
• W2023490476 hasConcept C166144826 @default.
• W2023490476 hasConcept C166970017 @default.
• W2023490476 hasConcept C170131372 @default.
• W2023490476 hasConcept C183582576 @default.
• W2023490476 hasConcept C196978813 @default.
• W2023490476 hasConcept C2778475510 @default.
• W2023490476 hasConcept C31634936 @default.
• W2023490476 hasConcept C33923547 @default.
• W2023490476 hasConcept C8272713 @default.
• W2023490476 hasConcept C91575142 @default.
• W2023490476 hasConceptScore W2023490476C100906024 @default.
• W2023490476 hasConceptScore W2023490476C10138342 @default.
• W2023490476 hasConceptScore W2023490476C103144560 @default.
• W2023490476 hasConceptScore W2023490476C105795698 @default.
• W2023490476 hasConceptScore W2023490476C112401455 @default.
• W2023490476 hasConceptScore W2023490476C126255220 @default.
• W2023490476 hasConceptScore W2023490476C133338972 @default.
• W2023490476 hasConceptScore W2023490476C134306372 @default.
• W2023490476 hasConceptScore W2023490476C144237770 @default.
• W2023490476 hasConceptScore W2023490476C14646407 @default.
• W2023490476 hasConceptScore W2023490476C149782125 @default.
• W2023490476 hasConceptScore W2023490476C151376022 @default.
• W2023490476 hasConceptScore W2023490476C162118730 @default.
• W2023490476 hasConceptScore W2023490476C162324750 @default.
• W2023490476 hasConceptScore W2023490476C166144826 @default.
• W2023490476 hasConceptScore W2023490476C166970017 @default.
• W2023490476 hasConceptScore W2023490476C170131372 @default.
• W2023490476 hasConceptScore W2023490476C183582576 @default.
• W2023490476 hasConceptScore W2023490476C196978813 @default.
• W2023490476 hasConceptScore W2023490476C2778475510 @default.

• next