Benchmark and mean-variance problems for insurers

Mathematical Methods of Operations Research

Volumn 62, Issue 1, 2005, Pages 159-165

  Bäuerle, Nicole ^a  

^a LEIBNIZ UNIVERSITY HANNOVER   (Germany)

Author keywords

HJB equation; Lagrange theory; Stochastic LQ problem

Indexed keywords

BENCHMARKING; DYNAMIC PROGRAMMING; PROBLEM SOLVING; RANDOM PROCESSES;

HJB EQUATION; LAGRANGE THEORY; STOCHASTIC LQ PROBLEM;

INSURANCE;

EID: 24344448195     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00186-005-0446-1     Document Type: Conference Paper

References (8)

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