Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion (Q2445993)

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Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
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    Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion (English)
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    15 April 2014
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    time-consistency
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    mean-variance
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    proportional reinsurance
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    equilibrium strategy
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    Hamilton-Jacobi-Bellman equation
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