Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (Q1735027)
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scientific article; zbMATH DE number 7043761
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| English | Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets |
scientific article; zbMATH DE number 7043761 |
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (English)
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28 March 2019
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optimization techniques
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VaR constraint
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equilibrium investment-reinsurance strategy
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stochastic control
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extended HJB system of equations
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mean-variance criterion
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0.8833814263343811
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0.8815931081771851
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0.875417947769165
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0.8611943125724792
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0.8579439520835876
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