Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility (Q2292185)
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scientific article; zbMATH DE number 7161813
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| English | Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility |
scientific article; zbMATH DE number 7161813 |
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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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0.8510550856590271
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0.8482214212417603
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0.8311282992362976
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0.8225644826889038
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