Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model (Q4597989)
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scientific article; zbMATH DE number 6818840
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| English | Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model |
scientific article; zbMATH DE number 6818840 |
Statements
Equilibrium excess-of-loss reinsurance–investment strategy for a mean–variance insurer under stochastic volatility model (English)
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15 December 2017
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equilibrium strategy
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excess-of-loss reinsurance
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mean-variance criterion
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square-root model
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stochastic volatility model
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0.8753922581672668
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0.858139157295227
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0.856049120426178
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0.8482214212417603
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0.8466398119926453
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