Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion (Q2445993)
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scientific article; zbMATH DE number 6285069
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| English | Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion |
scientific article; zbMATH DE number 6285069 |
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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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0.9584834
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0.9558399
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0.95165366
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0.95043814
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0.95026875
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0.93515074
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0.9283235
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