Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
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Publication:4986421
DOI10.1080/07362994.2020.1791722zbMath1471.91490OpenAlexW3045104027MaRDI QIDQ4986421
Publication date: 27 April 2021
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2020.1791722
proportional reinsurancetime-consistent strategymean-variancethinning dependenceextended Hamilton-Jacobi-Bellman
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