Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model (Q2444720)
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scientific article; zbMATH DE number 6282692
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| English | Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model |
scientific article; zbMATH DE number 6282692 |
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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model (English)
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10 April 2014
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investment and reinsurance strategy
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stochastic volatility
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time-consistency
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insurer
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mean-variance criterion
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0.8898800015449524
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0.8800952434539795
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0.869762122631073
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0.8677019476890564
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0.867682933807373
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