Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market (Q4643689)
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scientific article; zbMATH DE number 6875469
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| English | Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market |
scientific article; zbMATH DE number 6875469 |
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Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market (English)
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28 May 2018
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time-consistent strategy
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mean-variance
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CEV model
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defaultable bond
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proportional reinsurance
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0.9313673377037048
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0.9275901317596436
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0.9004847407341003
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0.8855136632919312
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