Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion (Q2445993): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.008 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2050477100 / rank | |||
Normal rank | |||
Revision as of 18:52, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion |
scientific article |
Statements
Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion (English)
0 references
15 April 2014
0 references
time-consistency
0 references
mean-variance
0 references
proportional reinsurance
0 references
equilibrium strategy
0 references
Hamilton-Jacobi-Bellman equation
0 references
