Optimal investment and reinsurance strategies with state-dependent risk aversion (Q5017172)
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scientific article; zbMATH DE number 7448563
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| English | Optimal investment and reinsurance strategies with state-dependent risk aversion |
scientific article; zbMATH DE number 7448563 |
Statements
17 December 2021
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excess-of-loss reinsurance
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mean-variance criterion
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extended HJB system of equations
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state-dependent risk aversion
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0.8817470073699951
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0.8815931081771851
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0.8710333108901978
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