Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility (Q2292185): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.11.003 / rank
 
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Latest revision as of 16:20, 21 July 2024

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Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
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    Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility (English)
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    3 February 2020
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    mean-variance
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    time-inconsistency
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    open-loop stochastic control
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    stochastic volatility model
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    reinsurance-investment
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    state-dependent risk aversion
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