Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion (Q2445993)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6285069
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion |
scientific article; zbMATH DE number 6285069 |
Statements
Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion (English)
0 references
15 April 2014
0 references
time-consistency
0 references
mean-variance
0 references
proportional reinsurance
0 references
equilibrium strategy
0 references
Hamilton-Jacobi-Bellman equation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9584834
0 references
0.9558399
0 references
0.95165366
0 references
0.95043814
0 references
0.95026875
0 references
0.93515074
0 references
0.9283235
0 references
0.9265691
0 references
