Optimal Reinsurance and Investment via Stochastic Projected Gradient Method Based on Malliavin Calculus
Year: 2026
Type: article
DOI: 10.1137/25m1727242
Authors: Yuta Otsuki, Shotaro Yagishita
Institution: The Institute of Statistical Mathematics
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: closed
Award: 近接勾配型アルゴリズムの一般化による適用範囲拡大
OpenAlex ID: W7170634758