Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (Q1735027): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.1016/j.insmatheco.2018.11.007 / rank | |||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q128760187 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.INSMATHECO.2018.11.007 / rank | |||
Normal rank | |||
Latest revision as of 07:43, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets |
scientific article |
Statements
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (English)
0 references
28 March 2019
0 references
optimization techniques
0 references
VaR constraint
0 references
equilibrium investment-reinsurance strategy
0 references
stochastic control
0 references
extended HJB system of equations
0 references
mean-variance criterion
0 references
0 references
0 references
0 references
0 references
0 references
0 references
