Deep learning solution of optimal reinsurance‐investment strategies with inside information and multiple risks
Sign Up to like & getrecommendations! Published in 2024 at "Mathematical Methods in the Applied Sciences"
DOI: 10.1002/mma.10465
Abstract: This paper investigates an optimal investment‐reinsurance problem for an insurer who possesses inside information regarding the future realizations of the claim process and risky asset process. The insurer sells insurance contracts, has access to proportional… read more here.
Keywords: deep learning; inside information; insurer; reinsurance ... See more keywords